EconStor >
Hamburg School of Business Administration (HSBA) >
Working Paper Series der HSBA, Hamburg School of Business Administration  >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/41614
  
Title:Investing in times of inflation fears: Diversification properties of investments in liquid real assets PDF Logo
Authors:Grelck, Michael B.
Prigge, Stefan
Tegtmeier, Lars
Topalov, Mihail
Torpan, Igor
Issue Date:2010
Series/Report no.:Working Paper Series der HSBA Hamburg School of Business Administration 03/2010
Abstract:The financial crisis and the rescue measures taken by governments and central banks increased investors' interest in liquidity and in real assets supposed to offer a hedge against inflation. Against this background, we investigate empirically four real assets (real estate, commodities, infrastructure, and shipping) for which there are investment instruments available which trade in liquid markets. Our empirical study using data from 1999 to 2009 yields several results: First, in most cases, the addition of real assets improved portfolio performance (measured with Sharpe ratio, Sortino ratio, Omega ratio, and Modified Sharpe ratio) in comparison with a base portfolio consisting only of standard stocks and bonds. Among the four real assets, infrastructure and shipping clearly outperformed commodities and real estate. Second, the time frame chosen for the analysis matters very much. This is bad news for investors because there is no such thing as the single 'true' time frame for this purpose. Due to our analytical approach, we regard our conclusions, in spite of their general time dependence, as rather solid. Third, despite great conceptual differences, our four performance measures lead to the same conclusions. This result is interesting for investors beyond our specific setting because the selection of a specific performance measure from the vast supply of such measures does not seem to matter much.
Subjects:diversification
inflation
portfolio choice
investments in real assets
JEL:G11
G15
Document Type:Working Paper
Appears in Collections:Working Paper Series der HSBA, Hamburg School of Business Administration

Files in This Item:
File Description SizeFormat
638790255.pdf370.91 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/41614

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.