Abstract
In this study, the benefits of diversifying through the exposure to commodities were investigated, particularly for a pension fund operating within South Africa. This was done by comparing the Sharpe ratio of a hypothetical fund without exposure to commodities to the Sharpe ratio of the fund after optimal exposure to commodities. The results indicate that having exposure to commodities above the Regulation 28 limit improves the return-to-risk profile for a South African investor.
M.Com. (Financial Management)