Is Now the Time to Add Commodities to Your Portfolio?

Conover, C. Mitchell; Jensen, Gerald R.; Johnson, Robert R.; Mercer, Jeffrey M.

doi:10.3905/joi.2010.19.3.010

Cited by 86 publications

(66 citation statements)

References 15 publications

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“…Many researchers like Arouri, Lahiani, and Nguyen (2014); Artigas et al (2012); Conover et al (2010); Kumar (2014) have started to scrutinize whether gold has the potential to be included in portfolio formulations. On the other hand, several researchers have given their attention to other precious metals, such as silver, platinum, and palladium e.g.…”

Section: Introductionmentioning

confidence: 99%

The Volatility–Variability Hypotheses Testing and Hedging Effectiveness of Precious Metals for the Indonesian and Malaysian Capital Markets

Robiyanto¹,

Wahyudi²,

Pangestuti

2017

GADJAH MADA INT. J. BUS.

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Abstract:This study evaluates the use of futures contracts for precious metals to hedge against stock market risks and their hedging effectiveness on the Indonesian Stock Exchange (IDX) and the Kuala Lumpur Stock Exchange (KLSE). This study found that gold was the most effective hedging instrument, since it produced the highest hedging effectiveness both on the IDX and the KLSE among the other precious metals. None of the hedged portfolios had a higher Sharpe's ratio than the unhedged one on the IDX; however, all the hedged portfolios on the KLSE had a higher Sharpe's ratio than the unhedged ones. Almost all the hedged portfolios could produce a higher Treynor's ratio than the unhedged portfolios, both on the IDX and the KLSE. In general, this study concluded that studying some precious metals could reduce the investment risk, which was shown through the variance produced by the smaller portfolios, while gold can improve the risk-adjusted performance.

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Section: Introductionmentioning

confidence: 99%

The Volatility–Variability Hypotheses Testing and Hedging Effectiveness of Precious Metals for the Indonesian and Malaysian Capital Markets

Robiyanto¹,

Wahyudi²,

Pangestuti

2017

GADJAH MADA INT. J. BUS.

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“…Conover et al 2010;Jensen et al 2002). Particularly during financial crises, portfolio managers may shift weights to comparatively less risky and more liquid refuge assets, a phenomenon known as "flight-to-quality" or "flight-to-liquidity" (Beber et al 2007).…”

mentioning

confidence: 99%

Directional Volatility Spillovers Between Agricultural, Crude Oil, Real Estate, and Other Financial Markets

Grosche

Heckelei

2016

Food Price Volatility and Its Implications for Food Security and Policy

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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: 92%

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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Is Now the Time to Add Commodities to Your Portfolio?

Cited by 86 publications

References 15 publications

The Volatility–Variability Hypotheses Testing and Hedging Effectiveness of Precious Metals for the Indonesian and Malaysian Capital Markets

The Volatility–Variability Hypotheses Testing and Hedging Effectiveness of Precious Metals for the Indonesian and Malaysian Capital Markets

Directional Volatility Spillovers Between Agricultural, Crude Oil, Real Estate, and Other Financial Markets

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

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