Commodity Indices-The End of an Era?

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

Basic information

Original name

Commodity Indices-The End of an Era?

Authors

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

Edition

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

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Other information

Language

English

Type of outcome

Article in a journal

Country of publisher

Czech Republic

Confidentiality degree

is not subject to a state or trade secret

Organization unit

Faculty of Economics and Administration

Keywords in English

correlation, value at risk, volatility, diversification, commodities

Tags

Reviewed

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Abstract

In the original language

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.