Investing in Fine Wine from the Perspectives of Diversification and Costs

IF 0.4 Q4 BUSINESS, FINANCE
Thomas Nahmer
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引用次数: 0

Abstract

This paper examines the meaningfulness of fine wine as an alternative investment, with particular focus on the costs of investing in fine wine. Is fine wine suitable for further diversifying and thus improving the risk-return profile of portfolios invested in global equities and bonds? This analysis takes place in an initial stage on an index basis and in a second stage on the basis of real investment opportunities. The reference currencies are the US dollar and the euro. In order to observe stock indexes, the MSCI World Index is used, and for bonds the JPM World Government-Bond Index is deployed. Regarding the data for investment in fine wine, the main focus is on the Liv-ex-50 Index. The time period is defined by the availability of the data. For the observation of indices, the period is from the beginning of 2004 to May 2018. For observation on the basis of a real investment the period is from March 2010 to May 2018. In the case of the real investment, index funds are used for the data analysis of equities and bonds. As there is no index fund for fine wine, the Liv-ex-50 index is used including all of the costs of a real investment. Various portfolio compositions are used for the periods indicated. On the one hand, a portfolio of 50% equities and 50% bonds is compared to a portfolio of 45% equities, 45% bonds and 10% fine wine. On the other hand, a portfolio of 25% equities and 75% bonds is compared to a portfolio of 20% equities, 70% bonds and 10% fine wine. As benchmarks, the annualised return, the standard deviation and the Sharpe ratio of the respective portfolios are calculated. The results for the periods indicated are sobering. The inclusion of fine wine leads - at an index level - to only a slight improvement of the annualised return, but to a marked increase in risk. When considering the real investment, the considerable costs of an investment in fine wine come to bear. The annualised return is lower and at the same time the risk is higher than that of portfolios which do not include fine wine. It is only when the index is viewed in euros that a slight improvement of the Sharpe ratio in one portfolio can be recorded. When costs are considered, the inclusion of fine wine leads to a worsening of the Sharpe ratio in all cases. This results is a significantly more critical verdict on this diversification opportunity than was noted in the previous studies by Masset and Weisskopf (2010), Masset and Henderson (2010), Bouri (2014), Bouri et al. (2016) and Aytac et al. (2016). By contrast, our results confirm the studies which point out the high costs of investment in fine wine and which reach largely negative findings when analysing real investments in wine investment funds (Burton and Jacobsen, 2001, Masset and Weisskopf, 2015).
从多元化和成本的角度看精品葡萄酒投资
本文考察了精品葡萄酒作为一种另类投资的意义,特别关注投资精品葡萄酒的成本。优质葡萄酒是否适合进一步分散投资,从而改善投资于全球股票和债券的投资组合的风险回报状况?这种分析在初始阶段以指数为基础,在第二阶段以实际投资机会为基础。参考货币是美元和欧元。为了观察股票指数,我们使用摩根士丹利资本国际世界指数,对于债券,我们使用摩根大通世界政府债券指数。关于投资精品葡萄酒的数据,主要关注的是Liv-ex-50指数。时间段由数据的可用性定义。指数观测时间为2004年初至2018年5月。以实际投资为基础的观察期为2010年3月至2018年5月就实物投资而言,指数基金用于股票和债券的数据分析。由于没有针对优质葡萄酒的指数基金,我们使用的Liv-ex-50指数包含了实际投资的所有成本。不同的投资组合组合用于指定的时期。一方面,50%的股票和50%的债券的投资组合与45%的股票、45%的债券和10%的优质葡萄酒的投资组合相比。另一方面,25%的股票和75%的债券的投资组合与20%的股票、70%的债券和10%的优质葡萄酒的投资组合相比。作为基准,计算各自投资组合的年化回报率、标准差和夏普比率。这些时期的结果发人深省。从指数水平来看,纳入精品葡萄酒只会略微提高年化回报率,但风险会显著增加。当考虑到真正的投资时,投资优质葡萄酒的可观成本就会显现出来。年化回报率较低,同时风险也高于不含精品葡萄酒的投资组合。只有当指数以欧元衡量时,一个投资组合中的夏普比率才会略有改善。如果考虑到成本,在所有情况下,包括优质葡萄酒都会导致夏普比率的恶化。与Masset and Weisskopf(2010)、Masset and Henderson(2010)、Bouri(2014)、Bouri et al.(2016)和Aytac et al.(2016)等人之前的研究相比,这一结果对这一多元化机会的判断要重要得多。相比之下,我们的结果证实了一些研究,这些研究指出了投资优质葡萄酒的高成本,并且在分析葡萄酒投资基金的实际投资时,得出了很大程度上负面的结果(Burton和Jacobsen, 2001, Masset和Weisskopf, 2015)。
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来源期刊
CiteScore
1.50
自引率
14.30%
发文量
40
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
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