Adam Zaremba, J. Jan, Zaghum Umar, Mateusz Mikutowski
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引用次数: 3
Abstract
In Inflation Hedging in the Long Run: Perspectives from Seven Centuries of Commodity Prices, published in the Summer 2021 issue of The Journal of Alternative Investments, Adam Zaremba of Montpellier Business School, Jan J. Szczygielski of Kozminski University, Zaghum Umar of Zayed University and Mateusz Mikutowski of Pozna´n University of Economics and Business investigate the efficacy of using commodities to hedge inflation risk. They analyze the relationship between inflation and various commodity price indexes across varying lengths of time and regions. The evaluation includes rolling correlations to see if relationships change over time. Results illustrate that commodities can be very effective hedging tools. However, some commodities do a better job than others. The optimal choice depends on what regions’ or countries’ inflation risk one seeks to mitigate, and the optimal choice can change as conditions change in the future. For example, in many countries, agricultural commodities used to be among the best hedging instruments but have since been displaced by energy commodities.
期刊介绍:
The Journal of Alternative Investments (JAI) provides you with cutting-edge research and expert analysis on managing investments in hedge funds, private equity, distressed debt, commodities and futures, energy, funds of funds, and other nontraditional assets. JAI is the official publication of the Chartered Alternative Investment Analyst Association (CAIA®). JAI provides you with challenging ideas and practical tools to: •Profit from the growth of hedge funds and alternatives •Determine the optimal mix of traditional and alternative investments •Measure and track portfolio performance •Manage your alternative investment portfolio with proven risk management practices