They're back! Post-financialization diversification benefits of commodities

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dc.creatorGagnon, Marie Hélène
dc.creatorManseau, Guillaume
dc.creatorPower, Gabriel J.
dc.date.accessioned2020-07-14T17:32:19Z
dc.date.available2020-07-14T17:32:19Z
dc.date.created2020-10
dc.description.abstractenglishDo alternative assets such as commodities improve portfolio diversification? The empirical evidence is generally positive but mixed, and almost exclusively focuses on U.S. data. Using several distinct commodity indexes over the period 1993–2019, we investigate the case of an investor in Canada, a commodity-currency country where equities are already exposed to commodity beta. We use spanning tests and several out-of-sample performance measures for both risk-averse and disappointment-averse investors. Overall, we find that while the diversification potential of commodities was limited in Canada before and during financialization, the post-financialization period offers new opportunities. The evidence suggests that portfolio performance is significantly improved using some, but not all, commodity indexes. Thus, the choice of a relevant commodity index matters as a vehicle for diversification. Finally, compounding an international component to the sectorial diversification of the portfolio can significantly improve its performance.spa
dc.format.extent19 páginasspa
dc.format.mimetypeapplication/pdfspa
dc.identifier.doihttps://doi.org/10.1016/j.irfa.2020.101515spa
dc.identifier.issn1057-5219spa
dc.identifier.otherhttps://www.sciencedirect.com/science/article/pii/S1057521920301599?via%3Dihubspa
dc.identifier.urihttps://hdl.handle.net/20.500.12010/10494
dc.publisherScience Directeng
dc.rights.accessrightsinfo:eu-repo/semantics/openAccessspa
dc.sourcereponame:Expeditio Repositorio Institucional UJTLspa
dc.sourceinstname:Universidad de Bogotá Jorge Tadeo Lozanospa
dc.subjectProductos básicosspa
dc.subjectDiversificación de portafoliosspa
dc.subjectMedidas de desempeñospa
dc.subject.keywordCommoditiesspa
dc.subject.keywordPortfolio diversificationspa
dc.subject.keywordFinancializationspa
dc.subject.keywordSpanningPerformance measuresspa
dc.subject.lembSíndrome respiratorio agudo gravespa
dc.subject.lembCOVID-19spa
dc.subject.lembSARS-CoV-2spa
dc.subject.lembCoronavirusspa
dc.titleThey're back! Post-financialization diversification benefits of commoditiesspa
dc.type.hasversioninfo:eu-repo/semantics/acceptedVersionspa
dc.type.localArtículospa

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