Abstract:
Risk-return correspondence for different investment asset classes
forms one of the pillars of modern portfolio management. This correspondence
together with interdependency analysis allows us to create portfolios that are
adequate to given goals and constraints. COVID-induced shock unexpectedly
generated high uncertainty and turmoil. Our paper is devoted to the investigation
path through shock by agricultural assets (presented by ETFs) in comparison with
traditional assets. There were identified three time periods: before the shock,
explicitly shock, and post-shock. At the explicit shock period was suggested
estimation risk frameworks on the pair indicators: falling depth and recovery
ratio. Basic attention focuses on comparison risk-return estimations prior to
shock and post-shock. To this end was considered four approaches to risk
measurement and were applied to the sample of agricultural ETFs. The results
indicated differences in risk changing by the path from before shock to post-
shock. Differences arise from choosing the approach of risk measuring. The
variability approach reveals much growth of risk of traditional assets, but the
Value-at-Risk approach indicates higher risk growth for agricultural ETFs.
Combine together with relatively low correlation these estimations provide a
clear vision of risk-return frameworks.
