The Safe-Haven and Hedging Properties of Agricultural Commodities

Zeinab Akil, Mathieu Gomes () and Benjamin Williams-Rambaud ()
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Mathieu Gomes: CRCGM - Centre de Recherche Clermontois en Gestion et Management - UdA - Université d'Auvergne - Clermont-Ferrand I - ESC Clermont-Ferrand - École Supérieure de Commerce (ESC) - Clermont-Ferrand

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Abstract: In this article we assess the safe-haven, hedging, and diversifying properties of agricultural commodity futures with respect to the S&P 500 index between 1999 and 2021. Our analyses reveal that various agricultural commodities (such as coffee, corn, soybeans, and wheat) exhibit safe-haven and/or hedging properties against the S&P 500 index. We further show that a small exposure to agricultural commodities enables a significant reduction in a stock portfolio's downside risk as proxied by semi standard deviation and value at risk.

Date: 2023-10-31
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Published in The Journal of Wealth Management, 2023, 26 (3), pp.111-122. ⟨10.3905/jwm.2023.1.218⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04368064

DOI: 10.3905/jwm.2023.1.218

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