Mixed Ag: <i>A Regime-Based Analysis of Multi-Asset Agriculture Portfolios</i>

Simonian, Joseph

doi:10.3905/jpm.2020.1.144

Cited by 2 publications

(3 citation statements)

References 13 publications

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“…Because food futures are more predictable than other assets (see Mehlitz & Auer, 2021), they may turn out to be more beneficial in a forward‐looking framework than in a backward‐looking one. Finally, another interesting research question deals with the performance of food‐related stocks (see Daskalaki, 2021; Simonian, 2020). If we could persuasively show that food futures perform similar to or worse than food stocks, investors interested in food exposure may be motivated to switch to the stock market such that their trading activity cannot affect food prices.…”

Section: Discussionmentioning

confidence: 99%

“…In a similar fashion, HML, RMW, CMA, UMD, and BAB are formed based on the book-to-market ratio, operating profitability, total assets, cumulative past returns, and market betas, respectively. All these data and detailed descriptions of the portfolio construction 3 We do not investigate other forms of food investments, such as stocks of food companies (see Daskalaki, 2021;Simonian, 2020), because they do not affect food prices and are therefore unproblematic. 4 We have also considered an alternative form of active investor who ignores passive products.…”

Section: Datamentioning

confidence: 99%

“…Consequently, less regulatory attention would be required. Unfortunately, only the studies of Jensen et al (2002), Bessler and Wolff (2015), and Simonian (2020) have tackled the issue of food futures profitability so far. Furthermore, their results do not allow general conclusions because they are mixed and influenced by three limitations in research design.…”

Section: Introductionmentioning

confidence: 99%

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Unprofitability of food market investments

Vinzelberg

Auer

2022

Manage Decis Econ

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Using more than two decades of disaggregated return data, we provide a comprehensive study of the investment benefits offered by food futures. In addition to comparing them to established passive and active investment vehicles, we investigate whether diversified investors can capitalize on including food futures into their portfolios. Our analysis is conducted within traditional and modern mean‐risk portfolio frameworks (measuring risk in terms of variance and tail size, respectively) supplemented by robust resampling techniques. Reward‐to‐risk investment performance is evaluated out of sample and by means of state‐of‐the‐art bootstrap testing. Overall, we find that food futures neither surpass standalone investments in stock, bond, and nonfood commodity markets nor do they significantly improve optimized multi‐asset portfolios.

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Section: Discussionmentioning

confidence: 99%

Section: Datamentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Unprofitability of food market investments

Vinzelberg

Auer

2022

Manage Decis Econ

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Portfolio Selection Based on the Application of CAPM and FF3F Model

Meng¹

2022

BCPBM

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Portfolio optimization is the selection of the optimal portfolio from all the portfolios considered. This paper uses diversified data, including technology, medicine, real estate and so on, to make the data more referential. In the process, five stocks with better performance in the corresponding fields were selected. In this paper, the CAPM and FF3F model are used to select the optimal portfolio. This paper also uses Sharpe ratio and weight to measure whether the portfolio can achieve the optimal. The results show that except for ‘VLO’, the covariance of other assets is below 0.01, which can perform better in the minimization of variance. And ‘MDT’ has the highest weight in the CAPM model, followed by ‘JLL’, which can maximize the Sharpe ratio. But in the FF3F model, ‘JLL’ has the highest weight and ‘WMT’ has zero weight to maximize the Sharpe ratio. The results of this paper will enable investors in related industries to get a better portfolio paradigm.

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Mixed Ag: A Regime-Based Analysis of Multi-Asset Agriculture Portfolios

Cited by 2 publications

References 13 publications

Unprofitability of food market investments

Unprofitability of food market investments

Portfolio Selection Based on the Application of CAPM and FF3F Model

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