the case for commodities as an asset class - duke university's 对于大宗商品作为杜克大学39 #资产阶级的情况；

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1、GSCINY–HeatherShemilt,212-902-7222SelenUnsal,212-902-7225TheCaseforCommoditiesasanAssetClassGoldman,Sachs&Co.June2004ExecutiveSummaryGSCI:ThePortfolioDiversifier;ThePortfolioEnhancerGoldmanSachsrecommendsastrategicallocationtocommoditiesasaseparateassetclasstohedgemacroec

2、onomicrisk,decreaseexpectedportfolioriskandtoincreaseexpectedportfolioreturns.Investorparticipationinthecommoditymarketshasgrownsignificantlyinthelast10years.Abroadlydiversified,longonly,passiveinvestmentinthecommoditymarketsprovidesinvestorswithsignificantbenefitsCounter-

3、cyclicalwithStocksandBonds:CommoditiesaresignificantlynegativelycorrelatedwithbothBondsandEquities,implyingthatevenasmallallocationtocommoditieswillreduceportfoliovolatility.HighReturns:TheGSCIhistoricallyhashadhighequity-likereturns:+12.24%perannum(1Jan1970-31May2004)GSCI

4、returnscanbeexceptional:+41%in1999,+50%in2000,+32%in2002,+20%in2003InflationHedge:TheGSCIprovidesahedgeagainstrisinginflation,evenwheninflationisrisingfromalowbase.DiversificationWhenYouNeeditMost:TheGSCIhasthelargestpositiveimpactonafinancialportfoliowhenfinancialassetsha

5、vetheirworstreturns.Duringthese“hostilemarkets”,equitiesandbondstendtofalltogetherandprovidelittlediversification.1EstimatedGlobalGSCIInvestmentGrowthInvestmentSoarsin1Q0419911992199319941995199619971998199920002001200220032004YTDUSDSource:GoldmanSachsWeestimatethatthereis

6、currently$20billionbenchmarkedtotheGSCI2TableofContentsWhatistheGSCI?TheStrategicCaseCommodityReturns:TiedtotheBusinessCycleWhereCommodityReturnsComeFromEnergyDrivesDiversificationHowtoInvestAppendixLiquidityTheCaseforLongRunReturns33WhatistheGSCI?44TheGSCIhasaFuturesandan

7、OptionscontractlistedontheChicagoMercantileExchange(CME)sinceJuly1992.TheGSCIExcessReturnIndextracksaninvestmentinabasketofworld-productionweightednearbycommodityfutures.Theindexassumesyouarealwaysinvestedinnearbyfuturescontracts.Thereforeitiscalculatedbyrollingforwardyour

8、firstnearbycontractsintothenextnearbycontractsmechanicallyonthe5th-9thbusinessdayofeachmo