Investment Risk Measurement for Agricultural ETF

DOI

10.2991/smtesm-19.2019.63How to use a DOI?

Keywords

Exchange Trade Funds, portfolio management, agriculture, investment, risk measurement

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.

Copyright

© 2019, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Andrii Kaminskyi
AU  - Maryna Nehrey
PY  - 2019/09
DA  - 2019/09
TI  - Investment Risk Measurement for Agricultural ETF
BT  - Proceedings of the 6th International Conference on Strategies, Models and Technologies of Economic Systems Management (SMTESM 2019)
PB  - Atlantis Press
SP  - 325
EP  - 329
SN  - 2352-5428
UR  - https://doi.org/10.2991/smtesm-19.2019.63
DO  - 10.2991/smtesm-19.2019.63
ID  - Kaminskyi2019/09
ER  -