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Is There Such A Thing As “Commodities”?
The creation of commodity indices and the flow of funds to them as an asset class does not answer the question whether such an entity as “commodities” exists. The presence of negative and near-zero correlations of returns and the oscillation of rolling correlation coefficients among the CRB’s sub-indices from positive to negative and back again implies a long-only investment in a commodity index will be betting against itself.