Investment Risk Measurement for Agricultural ETF
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Date
2019
Authors
Kaminskyi, Andrii
Journal Title
Journal ISSN
Volume Title
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Abstract
The aim of the paper is to measure the risk of
agriculture ETF in the context of portfolio investment. The
agriculture ETF be a special investment class which indicates
relatively low correlated returns with traditional investment
classes. One of the reasons of this is impact of weather and
crop yield on return of such ETF which others types of ETF
lacked. A sample of a basic agriculture ETF has been formed,
which includes as diversified funds as a specific commodity
ETF that targets to some agricultural product. To achieve the
goal, we conducted a risk assessment using different
approaches. Approaches based on variability conception and
losses in negative situations are used. Special focus was applied
for sensitivity analysis, which includes the Economic Policy
Uncertainty index, and correlation analysis. Main results of
research show differences in risk estimation for different types
of agriculture ETF in comparison with ETF of traditional
assets. Sensitivity analysis indicates high level of non-systematic risk. Obtained results can be applied for creating
"agriculture part" of a widely diversified investment portfolio.
Description
Keywords
Exchange Trade Funds, portfolio management, agriculture, investment, risk measurement, article
Citation
Kaminskyi A. Investment Risk Measurement for Agricultural ETF / Andrii Kaminskyi, Maryna Nehrey // Advances in Economics, Business and Management Research. - 2019. - Vol. 95. - P. 325-329.