The Effectiveness of Asset Classes in Hedging Risk

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CFA Digest
November 2012 | Vol. 42 | No. 4 | 3 pages
Source: CFA Institute
Luis Garcia-Feijoo, CFA Gerald R. Jensen, CFA Robert R. Johnson, CFA
Heather K. Traficanti, CFA (Reviewer)



The authors take a different research approach from previous researchers to determine commodity diversification and commodity hedging effectiveness in normal and stressed equity and U.S. bond market conditions. They use a regression approach on a sample of 15 asset classes for January 1970–December 2010.

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