Cattle as a consistently resilient agricultural commodity

Robert Powell, Duc H. Vo and Thach Pham ()

Applied Economics, 2019, vol. 51, issue 55, 5911-5922

Abstract: This study compares a range of agricultural commodities over periods of varying economic circumstances. These commodities are examined over three categories, including returns, risk, and contribution to portfolio optimisation. Consistency in these categories is determined over four equal three-year stages which comprise pre-GFC (Global Financial Crisis), GFC, post-GFC and post-post GFC. To demonstrate resilience in the most extreme circumstances, the study uses Conditional Value at Risk (CVaR), which measures extreme risk in the tail of a distribution, as the risk measure and risk-return optimiser. The study thus provides a unique and comprehensive extreme-risk based focus which identifies and ranks the consistency of performance of agricultural commodities over a range of criteria and conditions. Cattle commodities consistently demonstrate the strongest overall performance in the categories examined.

Date: 2019
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DOI: 10.1080/00036846.2019.1631441

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