"Fred J. Tydeman" <tydeman[at]tybor.com> wrote in message news:<40FB0357.51D67489[at]tybor.com> ...
- quote -

The Oppenheimer Real Asset Fund has underperformed its benchmark of
the GSCI. See http://www.financialadvisormagazine....spotlight.html
...

(Note to moderator: my initial message seems to have disappeared from
the Google Usenet archive. Any idea why?)

beliavsky[at]aol.com wrote:
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What mutual funds (open ended or closed ended) or ETFs come close to
that kind of investment?

I am aware of these "indexes"
Goldman Sachs commodity index
Dow Jones - AIG commodity index
Rogers International commodity index

I also am aware that a portfolio of equal weight of
US Bonds
US Stocks
Commodities
Real Estate (via REITs)
has done better than any one of those assets, and with less risk.
---
Fred J. Tydeman Tydeman Consulting
tydeman[at]tybor.com Programming, testing, numerics
+1 (775) 287-5904 Vice-chair of J11 (ANSI "C")
Sample C99+FPCE tests: ftp://jump.net/pub/tybor/
Savers sleep well, investors eat well, spenders work forever.

A recent paper has found that a portfolio of long commodity futures,
equally-weighted and rebalanced monthly, has had about the same Sharpe
(return/risk) ratio as stocks, but with a negative correlation to
stocks and bonds, over the period 1959-2004. Transaction costs would
reduce the historical return of commodities, but I don't know by how
much. Securitized commodity investments may be worth considering for
investors, for part of their portfolios. The paper can be downloaded
from http://papers.ssrn.com/sol3/papers.c...ract_id=560042 .

Facts and Fantasies about Commodity Futures
K. GEERT ROUWENHORST
Yale School of Management, International Center for Finance
GARY GORTON
University of Pennsylvania - Finance Department; National Bureau of
Economic Research (NBER)
Yale ICF Working Paper No. 04-20
Abstract:
We construct an equally-weighted index of commodity futures monthly
returns over the period between July of 1959 and March of 2004 in
order to study simple properties of commodity futures as an asset
class. Fully-collateralized commodity futures have historically
offered the same return and Sharpe ratio as equities. While the risk
premium on commodity futures is essentially the same as equities,
commodity futures returns are negatively correlated with equity
returns and bond returns. The negative correlation between commodity
futures and the other asset classes is due, in significant part, to
different behavior over the business cycle. In addition, commodity
futures are positively correlated with inflation, unexpected
inflation, and changes in expected inflation.
JEL Classifications: G2, G15, N2