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https://doi.org/10.22598/iele.2024.11.1.4

COMMODITIES AND PORTFOLIO DIVERSIFICATION: EMPIRICAL EVIDENCE FROM CRISIS DURESS

Ivana Štulec orcid id orcid.org/0000-0002-6646-505X ; University of Zagreb Faculty of Economics & Business, Zagreb, Croatia
Tomislav Baković orcid id orcid.org/0000-0003-0120-0082 ; University of Zagreb Faculty of Economics & Business, Zagreb, Croatia
Ivana Džalto orcid id orcid.org/0009-0005-6694-2580 ; PricewaterhouseCoopers Savjetovanje d.o.o., Zagreb, Croatia


Puni tekst: engleski pdf 590 Kb

str. 73-100

preuzimanja: 0

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Sažetak

Even though portfolio diversification has been extensively studied, it remains a dynamic field necessitating ongoing research. The challenge of diversifying investment portfolios with commodities is resurfacing, given the increasing complexity of optimizing portfolios due to the integration of financial markets, among others, caused by occurrence of systemic crises. We focus our attention on the impact of Covid-19 crisis on the diversification benefits of commodities. Several types of commodity investment were studied as to provide insight into which type of commodity investment show better diversification performance under crisis duress. The performances of four portfolios diversified with alternative commodity investments were analysed and compared to performance of traditional portfolio comprised of stocks and bonds, both in pre-pandemic and pandemic period. We employed correlation analysis, mean-variance method and Sharpe ratio for this purpose. Our findings show that adding commodities to traditional portfolio results with diversification benefits in the form of higher realised excess return for each unit of risk and those benefits to be the highest for commodity futures. However, those benefits are slightly lower in times of crisis when considering all but the portfolio diversified with commodity indices.

Ključne riječi

portfolio diversification; commodity indices; commodity futures; crisis effect; Covid-19

Hrčak ID:

318718

URI

https://hrcak.srce.hr/318718

Datum izdavanja:

30.6.2024.

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