Naslov (eng)

Downside Risk and Risk-Adjusted Performances of Industrial Metals

Autor

Živkov, Dejan
Manić, Slavica
Gajić Glamočlija, Marina

Opis (eng)

Abstract. This paper investigates the level of risk and the risk-adjusted returns of five industrial metals. In the research process, we use several sophisticated approaches – EGARCH-NIG model, parametric and semiparametric CVaR risk measures, and four return- to-risk ratios. Aluminium has the lowest parametric CVaR at all probabilities, whereas lead has the upper hand in semiparametric CVaR. This happens because lead has the highest positive skewness and the lowest kurtosis. However, the riskiest metal is tin because of the highest negative skewness and highest kurtosis. As for the calculated ratios, copper is the best metal in the three out of four cases (Sharpe, Sortino, and modified STARR), primarily because copper recorded the highest price rise in the observed period. Aluminium has the best Treynor ratio because of the relatively low beta and the relatively high mean, whereas lead can serve as a good auxiliary instrument in combination with the S&P500 index due to the lowest beta.

Jezik

engleski

Datum

2024

Licenca

Ovo delo je licencirano pod uslovima licence
Creative Commons CC BY 4.0 - Creative Commons Autorstvo 4.0 International License.

http://creativecommons.org/licenses/by/4.0/legalcode

Predmet

Keywords: parametric and semiparametric downside risk, GARCH-NIG, risk-adjusted ratios

Deo kolekcije (1)

o:28218

Ekonomski fakultet