آیا کالاها ارزش اوراق بهادار چند دارایی را اضافه می کنند؟ تجزیه و تحلیل خارج از نمونه برای استراتژی های سرمایه گذاری های مختلف
|کد مقاله||سال انتشار||تعداد صفحات مقاله انگلیسی||ترجمه فارسی|
|42389||2015||20 صفحه PDF||سفارش دهید|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Banking & Finance, Volume 60, November 2015, Pages 1–20
An essential motive for investing in commodities is to enhance the performance of portfolios traditionally including only stocks and bonds. We analyze the in-sample and out-of-sample portfolio effects resulting from adding commodities to a stock-bond portfolio for commonly implemented asset allocation strategies such as equally- and strategically-weighted portfolios, risk-parity, minimum-variance as well as reward-to-risk timing, mean-variance and Black–Litterman. We analyze different commodity groups such as agricultural and livestock commodities that currently are critically discussed. The out-of-sample portfolio analysis indicates that the attainable benefits of commodities are much smaller than suggested by previous in-sample studies. Hence, in-sample analyses, such as spanning tests, might exaggerate the advantages of commodities. Moreover, the portfolio gains greatly vary between different types of commodities and sub-periods. While aggregate commodity indices, industrial and precious metals as well as energy improve the performance of a stock-bond portfolio for most asset allocation strategies, we hardly find positive portfolio effects for agriculture and livestock. Consequently, investments in food commodities are not essential for efficient asset allocation.