A Downside Risk Analysis of Inflation Hedging Capabilities of Individual Assets and Optimal Asset Allocation

2021 ◽  
Vol 8 (1) ◽  
pp. 80
Author(s):  
Aftab Hussain Tabassam ◽  
Zafar Iqbal ◽  
Arshad Ali Bhatti ◽  
Amna Mushtaq
Keyword(s):  
World Bank ◽  
Asset Allocation ◽  
Foreign Currency ◽  
Investment Horizon ◽  
Medium Term ◽  
Optimal Portfolios ◽  
Monthly Data ◽  
Short Run ◽  
Asset Classes ◽  
Inflation Hedging

The objective of this study is to examine the inflation hedging capabilities of most widely used asset classes in Pakistan. It also attempts to find out the possibility of creating an inflation protected optimal asset mix. The sample consists of monthly data of cash, gold, stocks, foreign currency, real estate and inflation from 2005 to 2015. The major sources of data are SBP, World Bank and Pakistan Statistics Bureau. The downside analysis of these assets concludes that cash act as an inflation hedge for all the investment horizons. The findings showed that the Gold and stocks also have inflation hedging abilities in short run which extend to medium term investment horizon for gold only, while stocks appear to be a good inflation hedge for longer investment horizons. This study also suggests that investors can strategically create optimal portfolios that are hedged against inflation.

scholarly journals ANALYSIS OF ASSET CLASSES THROUGH THE BUSINESS CYCLE

2012 ◽  
Vol 10 (1) ◽  
pp. 1-10 ◽  
Author(s):  
Audrius Dzikevičius ◽  
Jaroslav Vetrov
Keyword(s):  
Business Cycle ◽  
Asset Allocation ◽  
Investment Decision ◽  
Significant Information ◽  
Monthly Data ◽  
Leading Indicator ◽  
Investment Decision Making ◽  
Risk Characteristics ◽  
Asset Classes ◽  
The Business Cycle

This study was driven by the dissimilar performance characteristics displayed by asset classes over the business cycle. The authors aim to explore assets classes on the grounds of a scientific literature review and a statistical analysis. Business cycles are divided into four stages to explore broad movements in returns of asset classes and a possible existence of asymmetrical effects of determinants within stages. Six main asset classes were analysed: US stocks, EAFE stocks, Bonds, Gold, Real Estate and Commodities. Monthly data from February 1976 to August 2011 were used for the study. The article combines business cycle and asset allocation theories by adding valuable information about performance of asset classes during different phases of the business cycle. Using the OECD Composite Leading Indicator as a business cycle measure, the authors demonstrate that different assets classes have different return/risk characteristics over the business cycle. The article demonstrates how to use the business cycle approach for investment decision-making. The OECD Composite Leading Indicator can provide significant information on market expectations and the future outlook; hence, results of this study can help every investor improve his/her performance and risk management.

scholarly journals Diversifikationsvorteile verbriefter Immobilienanlagen in einem Mixed-Asset-Portfolio

2011 ◽  
Vol 12 (2) ◽  
pp. 170-191 ◽  
Author(s):  
Roland Füss ◽  
Felix Schindler
Keyword(s):  
Real Estate ◽  
Asset Allocation ◽  
Hedge Funds ◽  
Cash Flows ◽  
Investment Horizon ◽  
Long Run ◽  
Asset Portfolio ◽  
Asset Classes ◽  
International Investors

AbstractThis article examines whether international investors benefit from adding real estate investment trusts (REITs) to a mixed asset portfolio consisting of global stocks, bonds, hedge funds, and commodities. Previous literature has shown that REITs provide a strong co-movement with direct real estate in the long run. We therefore test the diversification potential of international REITs within the strategic asset allocation. Using the Johansen cointegration technique, we show that there is no long-term co-movement between REITs and the other asset classes in the period from January 1990 to December 2009. Thus, the empirical evidence suggests that REITs improve the diversification potential for active investors and those with a long-term investment horizon by simultaneously generating continuous cash flows.

scholarly journals The Impact of Interest Rate Changes on the Islamic Foreign Exchange Forward in the Malaysian Derivative Market

2020 ◽  
Author(s):  
Nor Azmah Md. Arif ◽  
Ruhaini Muda ◽  
Md. Mahmudul Alam ◽  
Saadiah Mohamad
Keyword(s):  
Interest Rate ◽  
Foreign Exchange ◽  
Risk Taking ◽  
Trading Volume ◽  
Foreign Currency ◽  
Medium Term ◽  
Currency Exchange ◽  
Main Challenge ◽  
Short Run ◽  
The Impact

Islamic foreign exchange forward plays a significant role to mitigate various foreign currency exchange risks. The main challenge that impedes the development and operation of the Islamic foreign exchange forward as a hedging instrument is the behaviour of relying on existing conventional framework with core conception of relying on interest rate and excessive risk taking. This study utilized monthly data from April 2004 to October 2017 of the Malaysian derivatives market. This study found that in the absence of an alternative profit-rate related benchmark and cross border activities, Islamic banks are constrained to use the interest rate benchmark. In the short run, both medium term (6-months) and longer term (12-months) tenures indicate faster speed of adjustment possibility due to higher trading volume and less demand for the medium term for the Islamic foreign exchange forward contract. It implies a need of the Islamic foreign exchange forward as a longer-term hedging instrument and not for a short term speculation and risk-taking purposes, as prohibited by shariah.

Asset Allocation Strategies and Commodities

2018 ◽  
Author(s):  
Claudio Boido
Keyword(s):  
Asset Allocation ◽  
Asset Management ◽  
Central Banking ◽  
Fixed Income ◽  
Fixed Income Securities ◽  
Asset Classes ◽  
Alternative Beta ◽  
Asset Managers ◽  
Selection Of ◽  
Allocation Strategies

As a result of the financial crisis of 2007–2008 and subsequent central banking decisions, the asset management industry changed its asset allocation choices. Asset managers are focusing their attention on the search for new asset classes by taking advantage of the new opportunities to capture risk premia with the aim of exceeding the returns given by traditional investments, including traded equities, fixed income securities, and cash. By doing so, they are trying to improve the selection of alternative assets, such as commodities that sometimes have relatively low correlations with traditional assets. The chapter begins by describing the principles of asset allocation, distinguishing between passive and active asset allocation, also focusing on beta and alternative beta. It then concentrates on how investors can gain exposure to commodities through different investment vehicles and strategies.

Asset Classes and Asset Allocation

2000 ◽  
Vol 2 (4) ◽  
pp. 27-32 ◽  
Author(s):  
Jeffrey E. Horvitz
Keyword(s):  
Asset Allocation ◽  
Asset Classes

scholarly journals Relationship between inflation and inflation uncertainty: The case of Serbia

2009 ◽  
Vol 19 (1) ◽  
pp. 171-183 ◽  
Author(s):  
Zorica Mladenovic
Keyword(s):  
Transition Period ◽  
Inflation Uncertainty ◽  
Monthly Data ◽  
High Inflation ◽  
Short Run ◽  
Permanent And Transitory Components ◽  
Uncertainty Models ◽  
The Relationship ◽  
Uncertainty Relationship ◽  
High Uncertainty

The purpose of this paper is to examine the relationship between inflation and inflation uncertainty in the Serbian economy, being particularly vulnerable to shocks in inflation rate, during transition period 2001 - 2007. Based on monthly data several GARCH specifications are estimated to provide the measure for inflation uncertainty. Derived variables are then included into VAR model to test for Granger-causality between inflation and its uncertainty. Models that consider only permanent and transitory components of prices are also estimated to investigate the inflation-uncertainty relationship in the long and in the short run. The main conclusion of the paper is that high inflation invokes high uncertainty, while high uncertainty negatively affects the level of inflation at long horizon.

How to Hedge Against Inflation Risk in Vietnam

2021 ◽  
Author(s):  
T. Thanh-Binh Nguyen
Keyword(s):  
Predictive Power ◽  
Gold Price ◽  
Price Stability ◽  
Leading Indicators ◽  
Inflation Risk ◽  
Monthly Data ◽  
Long Run ◽  
The Us ◽  
Short Run ◽  
Us Dollar

Abstract Vietnam has experienced galloping inflation and faced serious dollarization since its reform. To effectively control its inflation for promoting price stability, it is necessary to find efficacious leading indicators and the hedging mechanism. Using monthly data over the period from January 1997 to June 2020, this study finds the predictive power and hedge effectiveness of both gold and the US dollar on inflation in the long-run and short-run within the asymmetric framework. Especially, the response of inflation to the shocks of gold price and the US dollar are quick and decisive, disclosing the sensitiveness of inflation to these two variables.

Эволюционный подход к исследованию социально-экономической категории "туристский потенциал"

2021 ◽  
Author(s):  
A. Bekmatova ◽  
D. Shaikin ◽  
M. Valieva ◽  
O. Kopylova ◽  
А.Ж. Бекматова ◽  
...  
Keyword(s):  
Foreign Currency ◽  
Positive Impact ◽  
Tourism Industry ◽  
Medium Term ◽  
Correct Definition ◽  
Tourism Sector ◽  
Cultural Sphere ◽  
Tourism Potential ◽  
Definition Of ◽  
New Jobs

In modern socio-economic conditions, the study of the essence of the term "tourist potential" is relevant. The correct assessment of the tourism potential of a country or its individual region, and above all its correct definition, is a key aspect that characterizes the success of the functioning the tourism sector in a narrow spectrum and the economy of the country as a whole. The development of the tourism industry affects such key economic indicators of the country as the balance of payments, total exports and others. Improving the infrastructure taking into account the increasing needs of tourists, the influx of foreign currency and investment, increasing employment through the creation of new jobs. Properly realized tourist potential has a positive impact on the socio-cultural sphere, satisfying the spiritual and physical needs of people. The interpretation of the term "potential" by the scientists in various fields of science is considered. As a result, the authors supplemented and formulated their own definition of the term "tourist potential". The article also studies a number of methods for assessing the tourist potential and builds statistical dependencies and econometric equations that characterize its development in the medium term. The dynamics of the visitors’ number by incoming and outgoing types of tourism was chosen as the estimated indicators. В современных социально-экономических условиях изучение сущности термина "туристский потенциал" является актуальным. Правильная оценка туристского потенциала страны или ее отдельно взятого региона, и прежде всего его корректное определение является ключевым аспектом, характеризующим успешность функционирования туристского сектора в узком спектре и экономики страны в целом. Развитие туристской отрасли влияет на такие ключевые экономические показатели страны, как платежный баланс, совокупный экспорт и другие. Совершенствование инфраструктуры с учетом возрастающих потребностей туристов, приток иностранной валюты и инвестиций, повышение занятости населения посредством создания новых рабочих мест. Грамотно реализованный туристский потенциал имеет положительное влияние и на социально-культурную сферу, удовлетворяя духовные и физические потребности людей. Рассмотрена трактовка термина "потенциал" учеными в различных областях науки. В результате авторами дополнено и сформулировано собственное определение термина "туристский потенциал". Также в статье изучен ряд методов оценки туристского потенциала и построены статистические зависимости, характеризующие его развитие в среднесрочном периоде. В качестве оценочных показателей выбрана динамика количества посетителей по въездному и выездному видам туризма.

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