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Article Dans Une Revue The Journal of Wealth Management Année : 2023

The Safe-Haven and Hedging Properties of Agricultural Commodities

Zeinab Akil
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Mathieu Gomes
  • Fonction : Auteur
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Benjamin Williams-Rambaud
  • Fonction : Auteur

Résumé

In this article we assess the safe-haven, hedging, and diversifying properties of agricultural commodity futures with respect to the S&P 500 index between 1999 and 2021. Our analyses reveal that various agricultural commodities (such as coffee, corn, soybeans, and wheat) exhibit safe-haven and/or hedging properties against the S&P 500 index. We further show that a small exposure to agricultural commodities enables a significant reduction in a stock portfolio’s downside risk as proxied by semi standard deviation and value at risk.
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Dates et versions

hal-04368064 , version 1 (31-12-2023)

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Zeinab Akil, Mathieu Gomes, Benjamin Williams-Rambaud. The Safe-Haven and Hedging Properties of Agricultural Commodities. The Journal of Wealth Management, 2023, 26 (3), pp.111-122. ⟨10.3905/jwm.2023.1.218⟩. ⟨hal-04368064⟩
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