Commodities as a Tool of Risk Diversification

• Autorzy: Stanislav Skapa
• Języki publikacji: EN

Abstrakty

EN

Investing in commodities has become a new topic for private investors in recent years. Private investors are trying to spread their investments across a much wider spectrum of investments than in the past. They are looking for new sources of return and better diversification of investment risk. In this process, they are searching beyond the traditional asset classes of equities, bonds, cash and real estate. The objective of the paper is to critically explore the possibility of investing in commodities mainly for private investors and analyses investment characteristics. The main scientific aim is to use a complex of more sophisticated and theoretically advanced statistical techniques and apply them on the findings. This paper will provide comprehensive analyses of mostly used commodity indexes of 1st generation and describe main differences between 1st and 2nd generation of commodity indexes and some examples of rollover mechanism will be critically explain. A representative of 2nd generation of commodity indexes was chosen for comprehensive data analysis to another asset class and for the testing whether commodities decreasing a risk of investment portfolio. (original abstract)

Słowa kluczowe

EN

Commodity price; Investment portfolio; Diversification

PL

Ceny towarów; Portfel inwestycyjny; Dywersyfikacja

• Czasopismo: Equilibrium
• Rocznik: 2013
• Tom: 8
• Numer: nr 2
• Strony: 65--77

Twórcy

autor

Stanislav Skapa

• Brno University of Technology, Czech Republic

Bibliografia

• Busken, C. (2004), Investing in Commodities, http://www.feg.com/research.php.
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• Dynamic Roll of Commodities Futures: An Extended Framework, http://us.spindices.com/documents/research/DynamicRollofCommoditiesFuturesAnExtendedFrameworkRebrand_Nov11_Final.pdf (February 11th, 2013).
• Dow Jones-UBS commodity Index Methodology, http://www.djindexes.com/mdsidx/downloads/meth_info/Dow_Jones_UBS_Commodity_Index_Methodology.pdf (February 8th, 2013).
• Reuters/Jefferies CRB , http://www.jefferies.com/Commodities/2cc/389/ (summer 2005).
• S&P Dow Jones Indices: S&P GSCI® Methodology, http://us.spindices.com/documents/methodologies/methodology-sp-gsci.pdf (February 8th, 2013).