BazEkon - The Main Library of the Cracow University of Economics

BazEkon home page

Main menu

Author
Kurach Radosław (Wrocław University of Economics, Poland)
Title
Commodities' Usefulness in a Portfolio Context - an Empirical Study
Użyteczność aktywów towarowych w kontekście budowy portfela - studium empiryczne
Source
Nauki o Finansach / Uniwersytet Ekonomiczny we Wrocławiu, 2013, nr 3 (16), s. 77-88, tab., bibliogr. 24 poz.
Financial Sciences / Uniwersytet Ekonomiczny we Wrocławiu
Keyword
Aktywa, Akcje, Rynki wschodzące, Dywersyfikacja
Assets, Shares, Emerging markets, Diversification
Note
streszcz., summ.
Abstract
Przyjmując perspektywę amerykańskiego inwestora, dokonano empirycznej weryfikacji korzyści dywersyfikacyjnych będących rezultatem inwestycji w aktywa towarowe. Szacunki przeprowadzono osobno dla różnych grup aktywów towarowych, wykorzystując w tym celu dane dotyczące notowań indeksów sektorowych. W przyjętej metodologii skoncentrowano się jedynie na pomiarze ryzyka analizowanych portfeli. Otrzymane rezultaty wskazują, że potencjał dywersyfikacyjny dla poszczególnych grup aktywów towarowych jest znacząco różny, jakkolwiek każdorazowo wyższy niż możliwości redukcji ryzyka przy wykorzystaniu akcji rynków wschodzących.(abstrakt oryginalny)

By adopting the perspective of a US equity investor, in this study we empirically verify the diversification benefits resulting from investing in commodities. We make an assessment for specified commodity groups using the commodity sector indices. In the employed methodology we focus only on the risk characteristic of the analyzed portfolios. Our results indicate that the diversification potential of different commodity groups is highly cross-varying, however, at any time greater than the risk-reduction possibilities offered by Emerging Markets equities.(original abstract)
Accessibility
The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics
Bibliography
Show
  1. Anson M.J.P., CAIA Level I. An Introduction to Core Topics in Alternative Investments, John Wiley & Sons, Hoboken, New Jersey 2009.
  2. Baca S.P., Garbe B., Weiss R.A., The rise of sector effects in major equity markets, "Financial Analysts Journal" 2000, September/October, pp. 35-40.
  3. Baxter M., Kouparitsas M.A., Determinants of business cycle comovement: a robust analysis, "Journal of Monetary Economics January" 2005, vol. 52, no. 1, pp. 113-157.
  4. Bekaert G., Urias M.S., Diversification, integration and emerging market closed-end funds, "NBER Working Paper 1996", no. 4990.
  5. Brooks R., Del Negro M., Firm-Level Evidence on Globalization, mimeo 2002.
  6. Fabozzi F.J., Fuss R., Kaiser D.G., The Handbook of Commodity Investing, JohnWiley&Sons, Inc., Hoboken, New Jersey 2008.
  7. Goldman Sachs (2012), S&P GSCI™ Commodity Index Approach, http://www2.goldmansachs. com/what-we-do/securities/products-and-business-groups/products/gsci/approach.html (as on 10th March 2012).
  8. Greer R., What is an asset class, anyway?, "The Journal of Portfolio Management" 1997, vol. 23, no. 2, pp. 86-91.
  9. Greer R., The nature of commodity index returns, "Journal of Alternative Investments" 2000, Summer, pp. 45-52.
  10. Grubel H.G., Internationally diversified portfolios: welfare gains and capital flows, "The American Economic Review" 1968, vol. 58, no. 5, pp. 1299-1314.
  11. Idzorek T., Strategic asset allocation and commodities, "Ibbotson Associates" 2006, March 27.
  12. Imbs J., Trade, finance, specialization and synchronization, "Review of Economics and Statistics" 2004, vol. 86, no. 3, pp. 723-734.
  13. Jorion P., International portfolio diversification with estimation risk, "Journal of Business" 1985, vol. 58, no. 3, pp. 259-278.
  14. Kaplan P.D., Lummer S.L., Update: GSCI collateralized futures as a hedging and diversification tool for institutional portfolios, "The Journal of Investing" 1998, vol. 7, no. 4, pp. 11-17.
  15. Levy H., Sarnat M., International diversification of investment portfolios, "The American Economic Review" 1970, vol. 60, no. 4, pp. 668-675.
  16. Markowitz H.M., Portfolio selection, "The Journal of Finance" 1952, vol. 7, no. 1, pp. 77-91.
  17. Merton R., On estimating the expected return on the market: an exploratory investigation, "Journal of Financial Economics" 1980, vol. 8, Issue 3, pp. 323-361.
  18. Moser D., Beware Commodity ETFs, "Seeking Alpha" 2011, http://seekingalpha.com/article/288832-beware-commodity-etfs (as on 10th March 2012).
  19. MSCI, MSCI Global Equity Indices, http://www.msci.com/products/indices/ 1245186878016 (as on 10th March 2012).
  20. Niemczak K., Eastern European equity markets and the subprime crisis. Does emerging Europe still offer diversification benefits?, "e-Finance" 2010, vol. 6, no. 3, pp. 47-63.
  21. Petrella G., Are euro area small cap stocks an asset class? Evidence from mean-variance spanning tests, "European Financial Management" 2005, vol. 11, no. 2, pp. 229-253.
  22. Sinquefield R.A., Where are the gains from international diversification?, "Financial Analysts Journal" 1996, vol. 52, no. 1, pp. 8-14.
  23. Standard & Poor's, S&P GSCI® Index Factsheet, http://www.standardandpoors.com/indices/ articles/en/us/?articleType=PDF&assetID=1245186878016 (as on 10th March 2012).
  24. Strategic Investment Solutions, Real Return Assets, "SIS Research Paper" 2011, June.
Cited by
Show
ISSN
2080-5993
Language
eng
Share on Facebook Share on Twitter Share on Google+ Share on Pinterest Share on LinkedIn Wyślij znajomemu