Commodity Indices-The End of an Era?

J 2014

Commodity Indices-The End of an Era?

BÜSCHER, A.; Eric FRÉRE; G. HELLWIG a Svend REUSE

Základní údaje

Originální název

Commodity Indices-The End of an Era?

Autoři

BÜSCHER, A.; Eric FRÉRE; G. HELLWIG a Svend REUSE

Vydání

Financial Assets and Investing, Brno, Masarykova univerzita, 2014, 1804-509X

Další údaje

Jazyk

angličtina

Typ výsledku

Článek v odborném periodiku

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Označené pro přenos do RIV

Organizační jednotka

Ekonomicko-správní fakulta

Klíčová slova anglicky

correlation, value at risk, volatility, diversification, commodities

Příznaky

Recenzováno

Změněno: 15. 11. 2018 14:31, prof. Dr. Eric Frére

Anotace

V originále

Abstract: Commodities are very important for the welfare of whole nations and so an increased demand, even on the financial markets, can be seen in the 20th century. For this reason commodities were no longer only product factors. They became more and more a speculative character for investors, especially in times of crisis as a possible safe haven (Mildner / Rudloff / Westphal, 2012, p. 57). Because of their development over two decades, during which time the invested volume grew up to an amount of 320 Billion US-Dollar at the beginning of 2011 (Knoepfel, 2011, p. 2) and the return of investing in commodities had beaten traditional investments, it might be very interesting to invest in commodity indices, if they can diversify an investor´s portfolio while improving the return. For the valuation and comparison of traditional and commodity indices, this article uses the classical approach of the volatility and the Value at Risk (VaR) for risk measurement and logarithmic returns for the performances. The analysis is indexed on July 1998 to get comparable results and aims to test if commodities can diversify a portfolio any longer.

Citovat

BÜSCHER, A.; Eric FRÉRE; G. HELLWIG a Svend REUSE. Commodity Indices-The End of an Era? Financial Assets and Investing. Brno: Masarykova univerzita, 2014, roč. 2014, No. 2, s. 45-65, 20 s. ISSN 1804-509X.

@article{1469041,
   author = {Büscher, A. and Frére, Eric and Hellwig, G. and Reuse, Svend},
   article_location = {Brno},
   article_number = {No. 2},
   keywords = {correlation, value at risk, volatility, diversification, commodities},
   language = {eng},
   issn = {1804-509X},
   journal = {Financial Assets and Investing},
   title = {Commodity Indices-The End of an Era?},
   volume = {2014},
   year = {2014}
}

TY  - JOUR
ID  - 1469041
AU  - Büscher, A. - Frére, Eric - Hellwig, G. - Reuse, Svend
PY  - 2014
TI  - Commodity Indices-The End of an Era?
JF  - Financial Assets and Investing
VL  - 2014
IS  - No. 2
SP  - 45-65
EP  - 45-65
PB  - Masarykova univerzita
SN  - 1804509X
KW  - correlation, value at risk, volatility, diversification, commodities
N2  - Abstract: Commodities are very important for the welfare of whole nations and so an increased demand, even on the financial markets, can be seen in the 20th century. For this reason commodities were no longer only product factors. They became more and more a speculative character for investors, especially in times of crisis as a possible safe haven (Mildner / Rudloff / Westphal, 2012, p. 57). Because of their development over two decades, during which time the invested volume grew up to an amount of 320 Billion US-Dollar at the beginning of 2011 (Knoepfel, 2011, p. 2) and the return of investing in commodities had beaten traditional investments, it might be very interesting to invest in commodity indices, if they can diversify an investor´s portfolio while improving the return. For the valuation and comparison of traditional and commodity indices, this article uses the classical approach of the volatility and the Value at Risk (VaR) for risk measurement and logarithmic returns for the performances. The analysis is indexed on July 1998 to get comparable results and aims to test if commodities can diversify a portfolio any longer.
ER  -

BÜSCHER, A.; Eric FRÉRE; G. HELLWIG a Svend REUSE. Commodity Indices-The End of an Era? \textit{Financial Assets and Investing}. Brno: Masarykova univerzita, 2014, roč.~2014, No. 2, s.~45-65, 20 s. ISSN~1804-509X.

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