scholarly journals Assessing the Time-Frequency Co-Movements among the Five Largest Engineering Consulting Companies: A Wavelet-Base Metrics of Contagion and VaR Ratio

Mathematics ◽  
2021 ◽  
Vol 9 (5) ◽  
pp. 504
Author(s):  
Marcos Albuquerque Junior ◽  
José António Filipe ◽  
Paulo de Melo Jorge Neto ◽  
Cristiano da Costa da Silva
Keyword(s):  
Systematic Risk ◽  
Investment Horizon ◽  
Time Frequency ◽  
Engineering Consulting ◽  
Country Factors ◽  
Asset Class ◽  
Asset Classes ◽  
International Assets ◽  
Portfolio Return

Diversification in a portfolio is an important tool for the systematic risk management that is inherent to different asset classes. The composition of a portfolio with domestic and international assets is seen as one of the main alternatives for building a diversified portfolio, as this approach tends to reduce portfolio return exposure depending on country factors. However, in scenarios where industry factors are predominant, international diversification can increase systematic risk in a portfolio centered on a single asset class. This study is a pioneer in using wavelet-based methods to identify intersectoral co-movements, based on a portfolio of shares of the world’s top five consulting engineering companies, providing an innovative way to be applied to this phenomenon. Our evidence indicates that companies share a strong pattern of co-movements among themselves, especially in cycles of 32 to 64 days, suggesting a higher exposure to risk for portfolios with an investment horizon in long-term cycles.

scholarly journals Impacto da Aplicação em Ativos Internacionais no Desempenho dos Fundos de Pensão no Brasil

2009 ◽  
Vol 7 (2) ◽  
pp. 237
Author(s):  
Raphael Braga Silva ◽  
Roberto Moreno Moreira ◽  
Luiz Felipe Jacques Motta
Keyword(s):  
Hedge Funds ◽  
Efficient Frontier ◽  
Pension Funds ◽  
Major Effect ◽  
Economic Environment ◽  
Financial Health ◽  
Wide Range ◽  
Asset Classes ◽  
International Assets

The present study has performed an analysis of the effects caused in the performance of Brazilian pension funds by the inclusion of international assets in their portfolios. The Resolution CMN 3456 of June 1, 2007 allowed pension funds in Brazil to allocate up to 3% of their investments in international hedge funds. Given the wide range of assets classes available in this category of hedge funds, this study has focused on international assets. The investments in such asset classes do not generate a major effect on the efficient frontier of the pension funds’ investments. The results do not change much even if we increase the constraint from 3% to 20%. However, changes in the current economic environment indicate that finding alternative investments that can enhance the asset performance on a long term view will be a crucial factor to maintain the financial health of pension funds.

Issues in Benchmarking Commodity Performance

2018 ◽  
Author(s):  
Aaron Filbeck
Keyword(s):  
Institutional Investors ◽  
Portfolio Diversification ◽  
Exchange Traded Funds ◽  
Barriers To Entry ◽  
Index Funds ◽  
Asset Class ◽  
Asset Classes ◽  
Alternative Sources ◽  
The Many

Commodity investments have continued to gain traction in diversified portfolios since the 1990s. Historically low correlations relative to traditional asset classes, different fundamental drivers, and investor demand for alternative sources of return have brought commodity investments forward as a solution that provides overall portfolio diversification while maintaining similar long-term return streams. A large inflow of institutional investors and noncommercial traders has increased demand and lowered barriers to entry. Many of these investors simply want exposure to commodities as an asset class, often investing in index funds or exchange-traded funds (ETFs). In some cases, investors assume that the underlying commodity indexes that these investment vehicles track represent appropriate benchmarks asset class performance. In reality, the many different commodity indexes available make benchmarking asset class performance more difficult.

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 Chasing Housing Prices?

2012 ◽  
Vol 28 (2) ◽  
pp. 237 ◽  
Author(s):  
Allen Atkins ◽  
Kevin C.H. Chiang ◽  
Ming-Long Lee
Keyword(s):  
Real Estate ◽  
Housing Prices ◽  
Commercial Real Estate ◽  
The Real Estate ◽  
Value Stocks ◽  
The Future ◽  
Asset Class ◽  
Asset Classes ◽  
Or Organization

If a person or organization is planning to buy real estate in the future but is unable or unwilling to buy it now, how can they best hedge this purchase? In what class of asset should they invest their money until they are ready to purchase the real estate? This paper uses Monte Carlo simulation and bootstrap techniques to investigate the effectiveness of using traditional asset classes in managing the long-term risks associated with the future purchase of real estate. We find that the best purchase early hedge for both residential and commercial real estate is small value stocks. Small value stocks would be the most likely to provide returns at least as good as real estate and they would be least likely to suffer losses relative to real estate. The effectiveness of the hedge increases the longer the time horizon of the investor. Large value stocks and equity REITs are also quite good but not as good as small value stocks. Other asset classes are not nearly as effective. The least effective asset class is T-Bills.

scholarly journals Systematic risk in the biopharmaceutical sector: a multiscale approach

2021 ◽  
Author(s):  
Gazi Salah Uddin ◽  
Muhammad Yahya ◽  
Stelios Bekiros ◽  
Raanadeva Jayasekera ◽  
Gerhard Kling
Keyword(s):  
Systematic Risk ◽  
Multiscale Approach ◽  
Discrete Wavelet ◽  
Conditional Correlation ◽  
Risk And Return ◽  
Time Frequency ◽  
Asymmetric Behavior ◽  
Asset Classes ◽  
Cross Country ◽  
T Copula

AbstractIt is well documented that the biopharmaceutical sector has exhibited weak financial returns, contributing to underinvestment. Innovations in the industry carry high risks; however, an analysis of systematic risk and return compared to other asset classes is missing. This paper investigates the time–frequency interconnectedness between stocks in the biotech sector and ten asset classes using daily cross-country data from 1995 to 2019. We capture investors' heterogeneous investment horizons by decomposing time series according to frequencies. Using a maximal overlap discrete wavelet transform (MODWT) and a dynamic conditional correlation (DCC)-Student-t copula, diversification potentials are revealed, helping investors to reap the benefits of investing in biotech. Our findings indicate that the underlying assets exhibit nonlinear asymmetric behavior that strengthens during periods of turmoil.

Commodity Exchange-Traded Funds

2018 ◽  
Author(s):  
Christopher Milliken
Keyword(s):  
Portfolio Diversification ◽  
Futures Contracts ◽  
Spot Price ◽  
Exchange Traded Funds ◽  
Investment Strategies ◽  
Regulatory Structure ◽  
Commodity Exchange ◽  
Asset Class ◽  
Exchange Traded Fund

Commodity exchange-traded funds (ETCs), which debuted in 2004, enable investors to access an asset class previously difficult or expensive to access. Although a small segment of the overall exchange-traded fund (ETF) universe, ETCs have grown in popularity with both speculators and investors looking for long-term portfolio diversification. Examples of the types of commodities that are now accessible through ETCs include gold, oil, and agricultural. The literature on ETCs is limited, but academic and industry work has centered on using futures contracts to replicate the performance of the underlying commodities spot price as well as the effect additional capital has had on the integrity of the futures market. This chapter covers this topic by reviewing the growth, investment strategies, and regulatory structure of ETCs as well as the underlying effects these funds have had on the underlying markets with which they engage.

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 A critical evaluation of risk-return characteristics of environmentally focused stock’s companies

2013 ◽  
Vol 61 (2) ◽  
pp. 501-506
Author(s):  
Stanislav Škapa ◽  
Tomáš Meluzín ◽  
Marek Zinecker
Keyword(s):  
Critical Evaluation ◽  
Risk Return ◽  
Ex Post ◽  
Asset Class ◽  
Asset Classes

The objective of the paper is to critically evaluate and determine risk-return profile environmentally focused stock’s companies which are covered by STOXX Global ESG Environmental Leaders Index and whether this index should be taken in as an independent asset class of investments portfolio for its risk-return improvement. This paper gives an empirical view on the ex-post asset classes characteristics focused mainly on risk side of investment.

Sign in / Sign up

Export Citation Format

Share Document