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Generation of Scalable, Metallic High-Aspect Ratio Nanocomposites in a Biological Liquid Medium

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They're back! Post-financialization diversification benefits of commodities.

Marie-Hélène Gagnon¹, Guillaume Manseau², Gabriel J Power³

¹Department of Finance, Insurance and Real Estate, FSA ULaval, and Research Fellow, CRREP and CEPCI, Canada.

International Review of Financial Analysis

|April 15, 2024

Summary

Commodities offer limited diversification for Canadian investors, especially before financialization. However, post-financialization, specific commodity indexes and international diversification significantly enhance portfolio performance.

Keywords:

Commodities Financialization Performance measures Portfolio diversification Spanning

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Area of Science:

Finance
Economics
Investment Management

Background:

Empirical evidence on alternative assets, like commodities, for portfolio diversification is mixed and predominantly U.S.-centric.
Canadian investors face unique challenges due to equities already possessing commodity beta exposure.

Purpose of the Study:

To investigate the diversification benefits of commodities for Canadian investors from 1993-2019.
To assess the impact of financialization on commodity diversification potential.
To evaluate the role of specific commodity indexes and international diversification in portfolio enhancement.

Main Methods:

Utilized several distinct commodity indexes over a 27-year period (1993-2019).
Employed spanning tests and out-of-sample performance measures.
Analyzed portfolios for both risk-averse and disappointment-averse investor profiles.

Main Results:

Commodity diversification potential was limited in Canada pre- and during financialization.
The post-financialization era presents new diversification opportunities with commodities.
Performance improvements were significant with certain commodity indexes, but not all, highlighting index selection importance.
Incorporating an international component further boosted portfolio performance.

Conclusions:

The effectiveness of commodities as a diversification tool for Canadian investors is time-dependent and index-specific.
Strategic selection of commodity indexes and the addition of international assets are crucial for optimizing portfolio diversification and performance.
The study underscores the evolving role of alternative assets in modern portfolio construction.