Optimal Portfolio Allocation between Global Stock Indexes and Safe Haven Assets: Gold versus the Swiss Franc (1999–2021)

Tronzano, Marco

doi:10.3390/jrfm15060241

Cited by 5 publications

(5 citation statements)

References 53 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The analysis relies on monthly data from January 1999 to May 2022, yielding a total of 281 observations. 1 This sample extends the time span analyzed in Tronzano (2022), and allows to explore the latest effects of the COVID-19 pandemic and of the beginning of the Ukraine-Russia war. All data are obtained from Thomson Reuters Datastream.…”

Section: Dataset and Preliminary Data Inspectionmentioning

confidence: 99%

“…Aggregate stock price indexes are identical to those employed in Tronzano (2022) and are provided by Morgan Stanley Capital Investment (MSCI). These data are expressed in US dollars, since this is the reference currency for international investors, and cover most representative world economic areas (United States, Europe, Japan, Emerging Markets).…”

Section: Dataset and Preliminary Data Inspectionmentioning

confidence: 99%

“…Notes 1 When using monthly data, volatility tends to dissipate with respect to empirical analyses relying on higher frequency observations. The use of the monthly frequency, however, is not unusual in this empirical literature (see, e.g., Filis et al 2011;Guesmi and Fattoum 2014;Grisse and Nitschka 2015;Chan et al 2018;Abdul Aziz et al 2019;Batten et al 2021;Robiyanto et al 2021;Tronzano 2022). In empirical analyses relying on monthly data, the sample needs to be sufficiently long in order to get reliable statistical inferences.…”

Section: Conflicts Of Interestmentioning

confidence: 99%

See 2 more Smart Citations

Safe-Haven Currencies as Defensive Assets in Global Stocks Portfolios: A Reassessment of the Empirical Evidence (1999–2022)

Tronzano

2023

JRFM

Self Cite

View full text Add to dashboard Cite

This paper reassessed the hedging properties of four major safe-haven currencies (US dollar, Swiss franc, euro, yen) in international stock portfolios covering most representative world macroeconomic areas. The main contribution to the existing literature is the emphasis on optimal hedging and asset-allocation strategies. A further distinguishing feature is an accurate comparison, inside a multivariate framework, between value-at-risk simulations assuming equal or optimal asset weights in hedged global stock portfolios. The US dollar stands out as the best safe-haven currency, while adding the US currency to single-hedged global stock portfolios including either the Swiss franc or the euro yields smooth risk profiles during major financial crises, and average risk indicators lower than that of a benchmark fully hedged portfolio.

show abstract

Section: Dataset and Preliminary Data Inspectionmentioning

confidence: 99%

Section: Dataset and Preliminary Data Inspectionmentioning

confidence: 99%

Section: Conflicts Of Interestmentioning

confidence: 99%

See 1 more Smart Citation

Safe-Haven Currencies as Defensive Assets in Global Stocks Portfolios: A Reassessment of the Empirical Evidence (1999–2022)

Tronzano

2023

JRFM

Self Cite

View full text Add to dashboard Cite

show abstract

“…Ref. [11] documents the better safe-haven properties of the Swiss Franc over gold, inciting asset allocation strategies, which give relatively more weight to the Swiss currency in global stock portfolios.…”

Section: First Contributions On Safe Havens During Covid-19mentioning

confidence: 99%

‘Safe Assets’ during COVID-19: A Portfolio Management Perspective

Chevallier

2023

Commodities

View full text Add to dashboard Cite

The pandemic crisis of COVID-19 hit the financial markets like a shockwave on 16 March 2020. This paper attempts to capture which ‘safe assets’ asset managers could have fled during the first wave of the pandemic. From an investment manager’s perspective, candidate assets are stocks, bonds, exchange rates, commodities, gold, and (gold-backed) cryptocurrencies. Empirical tests of the ‘Safe-Haven’ hypothesis are conducted, upon which the selection of assets is performed. The methodological framework hinges on the Global Minimum Variance Portfolio with Monte Carlo simulations, and the routine is performed under Python. Other optimization techniques, such as risk parity and equal weighting, are added for robustness checks. The benchmark portfolio hits a yearly profitability of 7.2% during such a stressful event (with 3.6% downside risk). The profitability can be enhanced to 8.4% (even 14.4% during sub-periods) with a careful selection of ‘Safe assets’. Besides short- to long-term U.S. bonds, we document that investors’ exposure to Chinese, Argentinian, and Mexican stocks during COVID-19 could have been complemented with Swiss and Japanese currencies, grains, physical gold mine ETFs, or gold-backed tokens for defensive purposes.

show abstract

“…According to Yousaf and Yarovaya (2022), gold offers protection for investors and portfolio managers against losses in a few of the Asian stock markets during the COVID-19 outbreak. Many other literature recently explores the safe haven property by studying the correlation between gold and stock market and concludes with mixed results (Naeem et al, 2022;Tronzano, 2022;Wen et al, 2022).…”

Section: Literature Reviewmentioning

confidence: 99%

A Comparative Analysis on the Role and Market Linkages of Gold Backed Assets During COVID-19 Pandemic

Madhavan

Sreejith

2022

Sci. Ann. Econ. Bus.

View full text Add to dashboard Cite

Gold is a traditional favorite investment avenue for investors all over the globe, particularly during the crisis period. Irrespective of the nature of the crisis, investors are allocating their funds to different gold-backed assets. This paper uses various globally traded gold-backed assets to identify its role and market linkages during the Covid 19 pandemic. Daily prices of assets from March 2020 to January 2022 were employed. DCC GARCH model is used to ascertain time-varying correlations and quantile regression was employed to examine the relationship between assets in different quantiles. Based on the analysis, safe haven property of all the assets is revealed and it is associated with the severity of the stock market crash as specified by the quantiles. Moreover, double exposure of gold mining stock results in different flights to quality. Co-movement of gold bullion, gold futures, and gold volatility index is visible during this crisis. Gold Exchange Traded Funds and gold-backed cryptocurrency offer diversification by decoupling with gold bullion in the portfolio. The paper highlights the importance of the choice of gold-backed assets along with gold bullion in the investment portfolio based on its role and market linkages.

show abstract

Optimal Portfolio Allocation between Global Stock Indexes and Safe Haven Assets: Gold versus the Swiss Franc (1999–2021)

Cited by 5 publications

References 53 publications

Safe-Haven Currencies as Defensive Assets in Global Stocks Portfolios: A Reassessment of the Empirical Evidence (1999–2022)

Safe-Haven Currencies as Defensive Assets in Global Stocks Portfolios: A Reassessment of the Empirical Evidence (1999–2022)

‘Safe Assets’ during COVID-19: A Portfolio Management Perspective

A Comparative Analysis on the Role and Market Linkages of Gold Backed Assets During COVID-19 Pandemic

Contact Info

Product

Resources

About