Strategic commodity allocation

Six, Pierre

doi:10.1080/14697688.2014.951386

Cited by 2 publications

(6 citation statements)

References 44 publications

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“…Overall, adding the commodity portfolio is useful to improve the SR of the bond portfolio although it cannot reduce the portfolio's volatility. Our findings are consistent with those of Six (2015) and Daskalaki et al (2017) who demonstrated that the commodity portfolio yields a diversification benefit to the bond portfolio. Furthermore, the benefit pertains to the improvement of the SR instead of a reduction in the volatility of the portfolio.…”

Section: Commodity Hedging Benefitssupporting

confidence: 92%

“…Recently, some researchers have attempted to examine the relationship between commodities and bond (or interest rate) markets (Gospodinov and Ng, 2013;Bessler and Wolff, 2015;Six, 2015;Tian and Hamori, 2016;Daskalaki et al, 2017;Donders et al, 2018;Bucher, 2019). However, only four existing studies have reported on the examination of the commodity hedging in bond portfolios.…”

Section: Review Of Literaturementioning

confidence: 99%

“…, 2013; Black et al. , 2014; Bessler and Wolff, 2015; Six, 2015; Charfeddine and Benlagha, 2016; Bekiros et al. , 2016; Tian and Hamori, 2016; Daskalaki et al.…”

Section: Review Of Literaturementioning

confidence: 99%

Section: Review Of Literaturementioning

confidence: 99%

“…Previous studies have explored the links between commodities and stock markets (Chen and Sutcliffe, 2012;Creti et al, 2013;Black et al, 2014;Bessler and Wolff, 2015;Six, 2015;Charfeddine and Benlagha, 2016;Bekiros et al, 2016;Tian and Hamori, 2016;Daskalaki et al, 2017;Juntila et al, 2018;Liu et al, 2018;Badshah et al, 2019;Bucher, 2019;Gutierrez and Vianna, 2020;. However, most of these discuss only commodity hedging and ignore the global stock index portfolios.…”

Section: Review Of Literaturementioning

confidence: 99%

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Commodity hedging benefits: analyses among different financial assets

Chalid

Handika

2022

JES

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PurposeThis study aims to investigate the benefits of commodity hedging in the global stock index, bond and foreign currency (FX) portfolios.Design/methodology/approachThe authors compare various hedging strategies and factor transaction costs. The authors analyze equally weighted, dynamic hedging ratio, risk parity and reward to risk timing strategies. Volatilities are estimated using historical, GARCH(1,1), and APARCH(1,1) methods. In addition, the authors evaluate the portfolio's hedging performance (HP) based on four different dimensions: volatility (annualized standard deviation), Sharpe ratio (SR), HP, and high-low ratio (HL).FindingsThe authors observe different benefits of the commodity hedging strategy among financial assets (stocks, bonds or FX).The authors find that commodity hedging in the stock markets is the best option, if the authors optimize the hedging ratio using dynamic hedging from historical data. The authors also document that for stock portfolio managers, adding commodities will generate a more conservative strategy, whereas for bond and/or FX portfolio managers, adding commodities will generate a more aggressive strategy.Originality/valueThis study contributes to the literature by investigating commodity hedging in the global stock index, bond and FX portfolios. First, the authors provide details on the diversification benefits in the commodities. Second, the authors document the hedging strategy that is the best as a part of the diversification strategy by adding commodities. Third, the authors provide a practical analysis by reporting the financial assets portfolio that is appropriate for commodity hedging following the portfolio managers' objectives (e.g. reducing risks or improving the risk-reward ratio).

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Section: Commodity Hedging Benefitssupporting

confidence: 92%

Section: Review Of Literaturementioning

confidence: 99%

“…, 2013; Black et al. , 2014; Bessler and Wolff, 2015; Six, 2015; Charfeddine and Benlagha, 2016; Bekiros et al. , 2016; Tian and Hamori, 2016; Daskalaki et al.…”

Section: Review Of Literaturementioning

confidence: 99%