Last November, The ETF Portfolio Strategist (ETF-PS) debuted in beta form. The original plan was to formally roll it out in Q1:2020. But thanks to a certain health crisis that reordered life as we know it, priorities shifted and, well, here we are in August. No matter — the case for market intelligence and analytics on ETF-based portfolio strategies is an evergreen topic and so we’re back – delayed but no less committed to crunching the numbers and analyzing the crucial trends for making informed decisions on portfolio design and management via ETFs.
The design has changed a bit from the initial concept. The main difference is that ETF-PS components will be published individually on a semi-regular schedule rather than in one complete issue on a given day. The other big change: the newsletter will appear here: etfps.substack.com To receive updates of future editions, subscribe today!
Is Gold a Hedge or Safe Haven Asset during COVID–19 Crisis?
Md Akhtaruzzaman (Australian Catholic University), et al.
May 15, 2020
The COVID–19 pandemic has shaken the global financial markets. Our study examines the role of gold as a safe haven asset during the different phases of this COVID–19 crisis by utilizing an intraday dataset. The empirical findings show that dynamic conditional correlations (DCCs) between intraday gold and international equity returns (S&P500, Euro Stoxx 50, Nikkei 225, and China FTSE A50 indices) are negative during Phase I (December 31, 2019−March 16, 2020) of the COVID–19 pandemic, indicating that gold is a safe haven asset for these stock markets. However, gold has lost its property as a safe haven asset for these markets during Phase II (March 17−April 24, 2020). The optimal weights of gold in the portfolios of S&P500, Euro Stoxx 50, Nikkei 225 and WTI crude oil has significantly increased during Phase II, suggesting that investors have increased the optimal weights of gold as ‘flight-to-safety assets’ during the crisis period. The results also show that hedging costs have significantly increased during Phase II. The hedging effectiveness (HE) index shows that the hedge is effective for portfolios containing gold and major financial assets. Our results are robust to alternative specifications of the DCC-GARCH model.
No progress on talks between GOP and Dems on new coronavirus relief: Politico
Trump orders ban on US dealings with Chinese-owned TikTok and WeChat: CNBC
Economists expect slowdown in job gain for today’s July payrolls report: BBG
Trump reimposes 10% tariff on some Canadian aluminum imports: BBC
US small business relief program set to end as jobless count remains high: NYT
China’s exports rose 7.2% y-o-y, driven by demand for medical supplies: CNBC
German industrial output rose sharply in June: MW
US jobless claims rose 1.186mm last week–softest gain in pandemic to date: CNBC
US job cuts rebounded in July after two months of softer gains: CG&C
Gold closed higher again on Thursday–15th straight daily gain: