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Contribution Details
| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | Diversification Benefits of Commodities in Institutional Investor Portfolio |
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| Institution | University of Zurich |
| Faculty | Faculty of Economics, Business Administration and Information Technology |
| Number of Pages | 43 |
| Date | 2012 |
| Abstract Text | This thesis investigates whether an investor is better off by including commodities during different financial market periods in a portfolio of traditional asset classes. It first introduces different investment instruments to get exposed to commodity prices, summarizes the findings of existing literature, and constructs portfolios for the six sub periods. It is found that commodity characteristics of prior periods, namely low correlation with equity and the effect of lower volatility in a portfolio cannot be confirmed for the most recent periods. The effect of higher expected returns and higher sets on the efficient frontier is verified however. Finally, commodity-based exchange-traded notes appear to be attractive instruments in portfolio diversification. |
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