Conquering Misperceptions about Commodity Futures Investing

Erb, Claude B.; Harvey, Campbell R.

doi:10.2139/ssrn.2645444

Cited by 6 publications

(7 citation statements)

References 7 publications

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“…Bu dönemlerde emtia piyasaları da yüksek getiri oranları ve geleneksel finansal araçlar (hisse senetleri ve tahviller) ile düşük korelasyonları nedeni ile en önemli yatırım araçlarından biri haline gelirler. Öte yandan, kriz ortamlarında, yatırımcılar bildikleri ve kendilerini güvende hissettikleri oyun alanları olan geleneksel finansal araçlara dönerler (Erb ve Harvey, 2016). Dolayısıyla, kurumsal yatırımcılar özellikle de petrol piyasalarından bu dönemlerde çıkarak hisse senetleri ve petrol arasındaki bağıntıyı zayıflatırlar (Basak ve Pavlova, 2016).…”

Section: Veri Seti Ve Ampirik Modelunclassified

Emtia Finansallaşmasına Borsa İstanbul ve Petrol Bağıntısı Açısından Bir Bakış

Akkaya

2020

Ankara Üniversitesi SBF Dergisi

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Kurumsal finansal yatırımcıların 2000'li yılların başı ile birlikte emtia piyasalarına yoğun biçimde yatırım yapması yeni bir olguyu doğurmuş ve bu olgu emtianın finansallaşması olarak adlandırılmıştır. Finansallaşma hipotezini savunanlar, aynı anda birçok piyasaya yatırım yapan kurumsal yatırımcıların, piyasalar arasındaki bağıntıyı kuvvetlendirdiğini iddia ederler. Öte yandan; bir diğer grup ise artan bağıntının konjonktürel olduğunu ve 2008 krizinden sonra küresel ekonomideki yavaşlık olduğunu ifade eder. Bu çalışmada Borsa İstanbul'a (BIST) gelen haftalık yabancı yatırım portföy yatırım tutarı kullanılarak, finansallaşma olgusu BIST ve petrol fiyatları özelinde incelenmiştir. Öncelikle, BIST100 endeksi ve WTI Cushing petrol fiyatları arasındaki asimetrik zamana bağlı koşullu korelasyon hesaplanmış, sonra bu korelasyonun yabancı portföy yatırımı ile mi yoksa konjonktürel olarak mı arttığı kantil regresyon kullanarak incelenmiştir. Sonuçlar, finansallaşmayı desteklememekle birlikte; aksine artan bağıntının konjonktürel olduğunu göstermektedir.

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Section: Veri Seti Ve Ampirik Modelunclassified

Emtia Finansallaşmasına Borsa İstanbul ve Petrol Bağıntısı Açısından Bir Bakış

Akkaya

2020

Ankara Üniversitesi SBF Dergisi

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“…They are obtained from S&P Opco, LLC. The three drivers of a TR index are the price return, the role return and the collateral return (Erb and Harvey, 2016). TR index levels are also used in a number of earlier studies on the topic (Bruno et al, 2017;Cheng and Xiong, 2014;Delatte and Lopez, 2013).…”

Section: The Datamentioning

confidence: 99%

“…The average weekly log-returns for the commodity sub-indices are negative in certain sub-samples, and for Agriculture and Livestock, in particular, they are negative over the total sample. Erb and Harvey (2016) show that the disappointing performance of the commodity sub-indices in terms of total returns over the recent years is the result of poor role returns (there is too much long-only insurance capital chasing too few opportunities).…”

Section: The Datamentioning

confidence: 99%

How well can investors diversify with commodities? Evidence from a flexible copula approach

Fousekis

Grigoriadis

2019

SEF

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Purpose This paper aims to investigate empirically the linkages between stock and commodity futures markets. Design/methodology/approach It involves the application of a flexible copula approach to weekly total returns from the S&P 500 index and from three commodity sub-indices (agriculture, metals and energy) from 1995 to 2017. Findings Co-movement is by no means frequent and symmetric. It was predominantly zero before the last financial crisis, and since then, it is positive and asymmetric. The pattern of asymmetry is consistent with transmission of shocks under extreme negative shocks only. Recently, total returns of commodity futures are very poor. At the same time, commodity futures markets move in step (out of step) with stock markets when the latter plunge (rise), pointing to limited diversification benefits. These appear to justify the concerns of investors and researchers whether including commodities in a portfolio of assets is still a prudent investment strategy. Originality/value It is the only manuscript that combines a flexible copula approach and co-movement measurement along both the positive and negative diagonals. The findings are in sharp contrast with those reported by Delatte and Lopez (2013) and are very important for portfolio management.

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“…WTI, on the other hand, is not only an entirely different asset class, but also features a market in decline, for most of the test period. This is due to the oil storage costs that are reflected in a futures term structure in contango: the storage costs lead to a negative drift for a buy-and-hold investor in oil futures (Erb and Campbell (2016)). The continuous futures time series is generated in Bloomberg using the 'ratio rollover' method (Went 2010) and thus significantly deviates from spot oil prices.…”

Section: Other Marketsmentioning

confidence: 99%

Tail-risk protection trading strategies

Packham

Papenbrock²,

Schwendner

et al. 2016

Quantitative Finance

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Starting from well-known empirical stylized facts of financial time series, we develop dynamic portfolio protection trading strategies based on econometric methods. As a criterion for riskiness, we consider the evolution of the value-at-risk spread from a GARCH model with normal innovations relative to a GARCH model with generalized innovations. These generalized innovations may for example follow a Student t, a generalized hyperbolic, an alpha-stable or a Generalized Pareto distribution (GPD). Our results indicate that the GPD distribution provides the strongest signals for avoiding tail risks. This is not surprising as the GPD distribution arises as a limit of tail behaviour in extreme value theory and therefore is especially suited to deal with tail risks. Out-of-sample backtests on 11 years of DAX futures data, indicate that the dynamic tail-risk protection strategy effectively reduces the tail risk while outperforming traditional portfolio protection strategies. The results are further validated by calculating the statistical significance of the results obtained using bootstrap methods. A number of robustness tests including application to other assets further underline the effectiveness of the strategy. Finally, by empirically testing for second-order stochastic dominance, we find that risk averse investors would be willing to pay a positive premium to move from a static buy-and-hold investment in the DAX future to the tail-risk protection strategy.

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Conquering Misperceptions about Commodity Futures Investing

Cited by 6 publications

References 7 publications

Emtia Finansallaşmasına Borsa İstanbul ve Petrol Bağıntısı Açısından Bir Bakış

Emtia Finansallaşmasına Borsa İstanbul ve Petrol Bağıntısı Açısından Bir Bakış

How well can investors diversify with commodities? Evidence from a flexible copula approach

Tail-risk protection trading strategies

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