engleski

Strategic asset allocation from a Croatian investor perspective

Poor performance of traditional asset allocation between stocks and bonds in the past decade, as well as significant growth of gold and commodity futures in the same period re- initiated discussions on strategic asset allocation. Correlations among portfolio asset classes returns determine the effect of diversification, which is reflected in the portfolio return and risk. From the perspective of Croatian investor (in HRK) in the period form July 1997 to August 2012, gold proved itself as s very effective hedge for stocks and bonds from Croatian capital market, since its real returns have negative correlation with CROBEX and CROBIS real total returns. Altough commodity futures seemed like a good hedge in USA from 1970 to 2012, despite the negative correlation of USD with CROBEX and CROBIS, commodity futures returns are positively correlated with Croatian stocks and bonds returns.

strategic asset allocation, correlations, stock, bond, gold, commodity futures, real total return

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