-related portfolio should diversify to Philippine equity. From hedging effectiveness and risk-adjusted-performance perspectives, oil is …

equity indices (US, Japan, Europe, UK and Canada), and examine the historical performance of currency hedging strategies in …. Furthermore, we show that the risk reduction achieved historically by following an easily implementable dynamic currency hedging …-risk hedging strategies, we find that using certain hedging instruments can slightly reduce total portfolio returns. However, in …

established that the gasoline supply in the United States (U.S.) must contain 10% ethanol. This work seeks to identify hedging … ratios using dynamic multivariate GARCH to best identify hedging opportunities in a newly developed futures market. The … ability for firms to hedge and regulators to supervise the ethanol futures market is crucial to both hedging potential losses …

In this paper, we show that large inflows into commodity investments, a recent phenomenon known as financialization …

In this paper, we show that large inflows into commodity investments, a recent phenomenon known as financialization …

This paper studies the effects of financial speculation on commodity futures returns, using publicly available data … from the US Commodity Futures Trading Commission, aggregated by trader groups. We exploit the heteroskedasticity in the …

Using a novel dataset consisting of daily futures prices going as far back as 1877, we find that returns of commodity … returns, commodity returns in different economic states (inflation up/down, expansion/recession) vary mostly due to moves in … the underlying spot price. These economic states are important drivers of commodity returns, even after conditioning on …

This study decomposes a momentum factor (MOM) in the commodity futures market. A high-to-price (HTP) factor generates a …

world brought about a new order characterized by higher inflation volatility, severe commodity price shocks and uncertainty …