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Commodities’ usefulness in a portfolio context – an empirical study

100%
Kurach R.
Nauki o Finansach
|
2013
|
issue 3 (16)
77-88
EN
By adopting the perspective of a US equity investor, in this study we empirically verify the diversification benefits resulting from investing in commodities. We make an assessment for specified commodity groups using the commodity sector indices. In the employed methodology we focus only on the risk characteristic of the analyzed portfolios. Our results indicate that the diversification potential of different commodity groups is highly cross-varying, however, at any time greater than the risk-reduction possibilities offered by Emerging Markets equities.
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Stocks, Commodities and Business Cycle Fluctuations – Seeking the Diversification Benefits

100%
Kurach R.
Equilibrium. Quarterly Journal of Economics and Economic Policy
|
2012
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vol. 7
|
issue 4
EN
In this study we empirically verify the diversification potential of different commodity sectors for equity portfolios. We also try to find the explanation of varying cross-sectoral diversification benefits by verifying the relationship between macroeconomic variables and commodity indices. We employ correlation analysis for our purposes. The obtained results indicate that Precious Metal and Livestock are valuable equity portfolio diversifiers, while Industrial Metals volatility has much in common with the fluctuations of broad stock market.
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