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Gold Inflation Hedge And Long Term Strategic Asset Pdf

gold inflation hedge and long term strategic asset pdf

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This paper tests the inflation hedging ability of four categories of important financial assets in China: Commodity futures, real estate, gold and industry stock and select the assets that have significant inflation hedging effect. Then the authors construct the mean-variance model under the inflation factor, using the selected assets to construct the inflation hedging portfolio, solving the model and obtain the optimal investment strategy with inflation protection function. The result shows that the portfolio constructed by the model have more stable real returns and its inflation hedging ability can be even better if the short selling restriction of stocks is eliminated. For investors in financial markets, one of the most basic risks is the erosion of real return of the portfolio by inflation.

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SFU Search. By adding, alternatively, the four potential inflation-hedges, researchers showed Gold as the most appropriate Long-Term Strategic Asset. In our research, we constructed basic investment portfolio for US and Canadian investors.

The optimization results are based on the post-crisis period from to The final results for the US suggest that Gold should be considered as a strong long-term strategic asset. Canadian REITs get allocation under base case assumptions but sensitivity analysis indicates that the results are not robust. Simon Fraser University. About Summit What is Summit? Farrukh, Mahad. Cherdantsev, Savva. Peer reviewed:. No, item is not peer reviewed.

Scholarly level:. Graduate student Masters. Date created:. Portfolio optimization. Document type:. Rights remain with the authors. File s :. Supervisor s :. Display Statistics. Search our collections Search this site:. ABC Copyright Conference Action for Health Cross Thematic Materials.

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A Study on the Optimal Portfolio Strategies Under Inflation

SFU Search. By adding, alternatively, the four potential inflation-hedges, researchers showed Gold as the most appropriate Long-Term Strategic Asset. In our research, we constructed basic investment portfolio for US and Canadian investors. The optimization results are based on the post-crisis period from to The final results for the US suggest that Gold should be considered as a strong long-term strategic asset. Canadian REITs get allocation under base case assumptions but sensitivity analysis indicates that the results are not robust.

Gold has a long association with finance and investing—from its use as a form of early currency to gold standard-based currencies from the late s. More recently, it has played a role in complementing other portfolio holdings. Current attitudes to investing in gold are varied—some hold a great deal of the precious metal in their portfolio, but most hold none. Recently, investors have been drawn by strong returns, and questions have been raised as to what an appropriate holding looks like within a diversified portfolio. What role can gold play in a diversified portfolio? Gold has traditionally been used as a portfolio hedge, rising in response to higher inflation, to a declining US dollar and to sharp reversals in riskier assets.


Gold as a tactical inflation hedge and long-term strategic asset. About the World Gold Council. The World Gold Council is the market development organisation.


Letter from US: Gold investment returns to favour

Alternative inflation hedging strategies for ALM

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P-ISSN By using DCC-GARCH which can dynamically accommodate the correlation between gold and the stock, this study found gold could become a safe haven asset towards stock in Indonesia. In addition, this study found that gold can effectively become a hedge asset for the stocks in Indonesia and the hedged portfolio resulted in a higher risk-adjusted performance of the portfolio of investment. Ahmad, Z. Aparicio, F. European Journal of Finance 7,

We show that the statistical properties of gold are negatively correlated with equities and that including gold in a portfolio will provide diversification benefits. As there is no consensus on the proportion of gold that should be included in a strategic portfolio allocation we propose a visual tool that associates a performance metric with a range of possible asset weighting schemes—a Sharpe ratio response surface. This very surface shows that a target performance metric can be achieved with a large number of different allocations. We further argue that the rebalancing approach based on the surface closest to the benchmark surface under the Hausdorrf distance metric should be selected. Using a data sample between and , we find that annual rebalancing with a week lookback period achieves the minimum distance from the benchmark surface. This is a preview of subscription content, access via your institution.

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The new virus, nCov, is hard to spot and therefore hard to stop. The following thoughts estimate that the coronavirus outbreak dissipates by spring. We need to assess the development daily though. Should the virus lead to a deep, long-term economic fallout the tactical asset allocation would need to be changed quickly and drastically. What the virus does show tragically, is the need for a balanced approach with tail hedges in a world where bonds no longer offer the desired diversification from equities.

Investors often buy gold as a hedge against perceived slowing global growth and potential stock market declines. Historically, gold has exhibited low correlation to stocks and an inverse relationship to the dollar. Increases in demand for physical bars and coins during times of increased uncertainty, combined with supply disruptions, can often push the cost to acquire these products higher, as seen during the COVID crisis. Those market conditions may be creating more global demand for gold. How can investors add gold as a practical matter to their portfolios?

This paper aims to study the role of gold as a hedge against inflation based on local monthly gold prices in China, India, Japan, France, the United Kingdom and the United States of America in periods ranging from to We extend the literature by using a novel approach with the nonlinear autoregressive distributed lags NARDL model Shin et al. The main advantage of this model relies on its ability to simultaneously capture the short- and long-run asymmetries through positive and negative partial sum decompositions of changes in the independent variable s. Moreover, we rely on local gold prices instead of those from London converted into local currencies like in most of previous studies. The results show that gold is not a hedge against inflation in the long run in all cases.

We show that the statistical properties of gold are negatively correlated with equities and that including gold in a portfolio will provide diversification benefits. As there is no consensus on the proportion of gold that should be included in a strategic portfolio allocation we propose a visual tool that associates a performance metric with a range of possible asset weighting schemes—a Sharpe ratio response surface. This very surface shows that a target performance metric can be achieved with a large number of different allocations. We further argue that the rebalancing approach based on the surface closest to the benchmark surface under the Hausdorrf distance metric should be selected.

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The Impact of Inflation Hedge Assets on Portfolio Optimizations for US and Canadian Investors

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  1. Kathy H.

    25.04.2021 at 21:04
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