A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies

Allen, David E.; McAleer, Michael; Singh, Abhay Kumar

doi:10.2139/ssrn.2879241

A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies

24 Pages Posted: 3 Dec 2016

David E. Allen

School of Mathematics and Statistics, The University of Sydney; Financial Research Network (FIRN); Department of Finance; School of Business and Law, Edith Cowan University

Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute; Tinbergen Institute; University of Tokyo - Centre for International Research on the Japanese Economy (CIRJE), Faculty of Economics

Abhay Kumar Singh

Edith Cowan University

Date Written: December 2, 2016

Abstract

This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing crude oil spot and futures prices. The use of grains for the creation of bio-fuels has sparked fears that these demands are inflating food prices. We analyse approximately 10 years of daily spot and futures prices for corn, wheat, sugar ethanol and oil prices from Datastream for the period 19 July 2006 to 2 July 2015. The analysis, featuring EngleGranger pairwise cointegration and Markov-switching VECM and Impulse Response Analysis, confirms that these markets have significant linkages which vary according to whether they are in low or high volatility regimes.

Keywords: Bio-fuels , time series, cointegration, Markov-switching, VECM, Impulse Responses, Volatility

JEL Classification: Q02, Q35, Q42, C22

Suggested Citation: Suggested Citation

Allen, David Edmund and McAleer, Michael and Singh, Abhay Kumar, A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies (December 2, 2016). Available at SSRN: https://ssrn.com/abstract=2879241 or http://dx.doi.org/10.2139/ssrn.2879241