We document the properties of the first diversified commodity futures index introduced by the Dow Jones & Company in 1933, and use its live track record to study the properties of the asset class in an experimental setting that does not suffer from backfill, selection, or survivorship biases. Despite the setbacks posed by contract failure and trading suspensions of several index constituents, the index appreciated by 3.7% per year between 1933 and 1998, while an investment in collateralized front-month futures returned 4.5% in excess of the risk-free rate. We quantify the impact of trading suspensions and contract failure on estimates of the risk premium.

我们记录了道琼斯公司于 1933 年推出的第一个多元化商品期货指数的特性，并使用其实时跟踪记录在不受回填、选择或幸存影响的实验环境中研究资产类别的特性偏见。尽管合同失败和几个指数成分股的交易暂停造成了挫折，但该指数在 1933 年至 1998 年间每年升值 3.7%，而对抵押的近月期货的投资回报率超过无风险利率 4.5%。我们量化了交易暂停和合同失败对风险溢价估计的影响。