Need help: What was the name of that paper in early 2000s that started massive commodity investment by pensions at end of commodity boom?
Gorton and Rouwenhorst (2006) -- they also had a follow up in 2016 which defended their earlier paper in light of the spectacular commodity crash in 2008 and muted recovery from 2008-15
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I see
@vixologist beat me to it! -
Was it the "Facts & Fantasies" paper?
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They claimed that the 2006 results held up when they re-examined them in 2016, but that’s not really the case. The 2006 paper claimed that commodity futures had better risk-adjusted returns than stocks. But the 2016 paper’s results showed the exact opposite to be true:pic.twitter.com/3mCcHMwvQ4
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I learned real quick that when you measure matters. My Ibbotson 1994 SBBI said stocks did < 10% since 1929, my 1999 SBBI said stocks did > 11% IIRC. It was pretty damn eye opening that 5 years could affect a 70 year series so much.
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oi this paper
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