22:T4ca,The impressive rise in commodity prices since 2002 and their subsequent fall since July 2008 have revived the debate on the role of commodities in the strategic and tactical asset allocation process. Commonly accepted benefits include the equity-like return of commodity indexes, the role of commodity futures as risk diversifiers, and their high potential for alpha generation through long-short dynamic trading. This article examines conditional correlations between various commodity futures with stock and fixed-income indices. Conditional correlations with equity returns fell over time, which indicates that commodity futures have become better tools for strategic asset allocation. The correlations between the S&P 500 Index and several commodities also fell in periods of above-average volatility in equity markets. This is desirable for long institutional investors as they need the benefits of diversification most in periods of high volatility in equity markets. Similarly, the results suggest that adding commodity futures to T-bill portfolios reduces risk further in volatile interest rate environments. TOPICS:Commodities, futures and forward contracts, portfolio construction, performance measurement23:T465,The possibility of investing in art has recently generated much interest among investors worldwide. In recent years structured solutions offered by art funds as well as a number of smaller boutique funds that offer investors the possibility of investing in a diversified art portfolio solely for financial gain have come into existence. This article examines return patterns that an art investment portfolio would have generated, taking a more conservative approach to examining the financial gains that artworks have exhibited historically. The analysis includes transaction costs, which are considerable in the art market, although in practice art funds are able to negotiate these costs. The results in this article show that art9s low correlation with other asset classes offer diversification benefits from holding art in an investment portfolio. Optimal portfolio allocations using historical returns make a case for investors to consider art as an attractive, albeit small addition to their investment strategy. TOPICS:Real assets/alternative investments/private equity, portfolio construction, portfolio theory24:T4a0,The volatility of equity returns generally exhibits an asymmetric reaction to positive and negative shocks. Economic explanations for this phenomenon are leverage and a volatility feedback effect. This article studies the volatility of gold and demonstrates that there is an inverted asymmetric reaction to positive and negative shocks—positive shocks increase volatility more than negative shocks. The author argues that this effect is related to the safe-haven property of gold. Investors interpret positive gold price changes as a signal for future adverse conditions and uncertainty in other asset markets. This introduces uncertainty in the gold market and thus higher volatility. The empirical results hold for gold bullion and gold coins denominated in different currencies and for different return frequencies, sample periods, and distributional assumptions. Finally, the author shows that the inverted volatility effect of gold can lower the aggregate risk of a portfolio for specific correlation levels. TOPICS: Commodities, currency, risk management, performance measurement

#	Concept	H-Index	Publications	Citations
1	Business	43	198	8K
2	Engineering	12	15	397
3	Arts	5	5	290
4	Education	1	1	28
5	Health Sciences	1	1	58

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