Portfolio hedging strategy-metals and commodities
Identifikátory výsledku
Kód výsledku v 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>
Výsledek na webu
<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>
Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Portfolio hedging strategy-metals and commodities
Popis výsledku v původním jazyce
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.
Název v anglickém jazyce
Portfolio hedging strategy-metals and commodities
Popis výsledku anglicky
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.
Klasifikace
Druh
J<sub>imp</sub> - Článek v periodiku v databázi Web of Science
CEP obor
—
OECD FORD obor
50204 - Business and management
Návaznosti výsledku
Projekt
—
Návaznosti
V - Vyzkumna aktivita podporovana z jinych verejnych zdroju
Ostatní
Rok uplatnění
2023
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
Acta Montanistica Slovaca
ISSN
1335-1788
e-ISSN
—
Svazek periodika
28
Číslo periodika v rámci svazku
2
Stát vydavatele periodika
SK - Slovenská republika
Počet stran výsledku
10
Strana od-do
509-518
Kód UT WoS článku
001072280200019
EID výsledku v databázi Scopus
2-s2.0-85172315342