Benefits of Commodity Investment

Georgiev, Georgi

doi:10.3905/jai.2001.318997

Cited by 88 publications

(28 citation statements)

References 17 publications

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“…The commodity portrays weak correlations with both traditional and the other alternative asset classes, which indicate a potential risk reduction in the portfolio. Some studies reaffirmed the additional benefit of adding commodity into a well-diversified portfolio (Satyanarayan and Varangis, 1996;Abanomey and Mathur, 1999;Conover et al, 2010;Georgiev, 2001). A further study by Shapiro and Thomas (2011) concerned on gold as a subset of commodities, where their finding showed the gold as a better inflation hedging tool as compared to the other commodities.…”

Section: The Contribution Of Conventional Asset Classesmentioning

confidence: 99%

The role of Islamic asset classes in the diversified portfolios: Mean variance spanning test

Dewandaru

Masih

Bacha

et al. 2017

Emerging Markets Review

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This study investigates both conventional and Islamic investors' problems as to whether the inclusion of Islamic and conventional asset classes may expand the frontier of their respective portfolios. Our sample covers the global U.S. portfolios and Malaysian portfolios with multiple asset classes, as well as the portfolios with a specific asset class in several regions. This study uses the recent mean-variance spanning test in multiple regimes, which not only accounts for tail risk but also identifies the source of value added (tangency portfolio or global minimum variance).For intra-asset allocation, our findings show that both Islamic and conventional fund managers of a specific asset class can benefit from conventional and Islamic asset classes, respectively, in several regimes. For inter-asset allocation, conventional institutional investors cannot obtain any value added from Islamic asset classes. On the contrary, the U.S. Islamic institutional investors can expand their tangency portfolio by investing in U.S. TIPSs and REITs, and reduce their global minimum variance by allocating on U.S. high-yield bonds. Moreover, the Malaysian Islamic institutional investors can obtain risk reduction by investing in conventional bonds only in the high term premium regime. For the remaining asset classes, the opportunity sets are sufficient for Islamic investors to invest complying with Shariah rules. We provide some policy implications for the global Islamic financial industry.

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Section: The Contribution Of Conventional Asset Classesmentioning

confidence: 99%

The role of Islamic asset classes in the diversified portfolios: Mean variance spanning test

Dewandaru

Masih

Bacha

et al. 2017

Emerging Markets Review

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“…Satyanarayan and Varangis [1996] show that adding the Goldman Sachs Commodity Index to an international equity portfolio can improve the return of the portfolio for any given level of risk. Georgiev [2001] determines that a direct investment in the GSCI can provide downside portfolio protection. Anson [1998] finds that the portfolio's Sharpe ratio is improved when nonfinancial futures contracts are added to an even already welldiversified portfolio of stocks and bonds.…”

Section: Evidence and Considerations For Adding Commodity Futures Conmentioning

confidence: 99%

Spicing Up a Portfolio with Commodity Futures: Still a Good Recipe?

Daigler¹,

Dupoyet²,

You³

2017

JAI

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“…To be able to take into account the dividend effect of equity and the rollover effect of commodity futures, we only use total return indices. This approach emulates the methodology of the studies from Büyükşahin et al (2010) and Georgiev (2001). S&P 500 S&P 500 Index is a capitalization-weighted index of 500 stocks.…”

Section: Data and Empirical Analysismentioning

confidence: 99%

Cointegration between Equity- and Agricultural Markets: Implications for Portfolio Diversification

Costa¹,

Donner

2016

JMS

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Commodities are well known to act anti-cyclical to stocks and are therefore used for portfolio diversification. However, various banks, asset managers and hedge funds were inculpated to speculate with agricultural commodities, especially after the food price bubble in 2007/08. This paper aims to investigate whether there is a diversification effect between equity-and commodity markets in the period from 1990 until 2014. We found evidence for a significant relationship between these two asset classes after the financial crisis using a cointegration framework.

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Benefits of Commodity Investment

Cited by 88 publications

References 17 publications

The role of Islamic asset classes in the diversified portfolios: Mean variance spanning test

The role of Islamic asset classes in the diversified portfolios: Mean variance spanning test

Spicing Up a Portfolio with Commodity Futures: Still a Good Recipe?

Cointegration between Equity- and Agricultural Markets: Implications for Portfolio Diversification

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