Portfolio hedging strategy-metals and commodities
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F23%3A63571699" target="_blank" >RIV/70883521:28120/23:63571699 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.46544/AMS.v28i2.19" target="_blank" >https://doi.org/10.46544/AMS.v28i2.19</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.46544/AMS.v28i2.19" target="_blank" >10.46544/AMS.v28i2.19</a>
Alternative languages
Result language
angličtina
Original language name
Portfolio hedging strategy-metals and commodities
Original language description
From the perspective of portfolio management, hedging is a proactive risk management measure that aims to protect the portfolio from unwanted drawdown risk and avoid loss on investment by incorporating assets into a portfolio which moves in the opposite direction as the market. However, trying to limit the risk could result in limiting potential profits. Commodities are one of the best hedges against inflation as their price typically accelerates during such times providing benefit to the investor. We use the innovative approach of hedging commodities using a combination of CAPM and RSI Strategy to identify which of 9 observed hard commodities (Aluminium, Zinc, Nickel, Lead, Tin, Copper, Gold, Brent Oil and Natural Gas) should have been incorporated into investment portfolio during the period 2008-2023. The SML strategy is reviewed in the empirical analysis for its suitability as a hedging instrument compared to the RSI, which is regularly used to hedge metals and commodities. Our MS Excel and IBM SPSS software analysis showed that RSI was a better hedging strategy than SML in 21 out of 36 cases but without statistical significance.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50204 - Business and management
Result continuities
Project
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Continuities
V - Vyzkumna aktivita podporovana z jinych verejnych zdroju
Others
Publication year
2023
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Acta Montanistica Slovaca
ISSN
1335-1788
e-ISSN
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Volume of the periodical
28
Issue of the periodical within the volume
2
Country of publishing house
SK - SLOVAKIA
Number of pages
10
Pages from-to
509-518
UT code for WoS article
001072280200019
EID of the result in the Scopus database
2-s2.0-85172315342