This paper examines the role that gold and other precious metals play in portfolio construction as hedges and safe havens in comparison with the Volatility Index (VIX), a derivative of market volatility. Gold has long been considered to be among the best assets for reducing portfolio volatility due to its lack of correlation with the overall market. However, the major finding of this paper is that while gold and the other precious metals do serve in this role to varying extents, the VIX performs this function far better. Both econometric and portfolio analyses reveal that the VIX improves overall portfolio performance to a greater extent, and most importantly serves as an effective safe haven relative to the market.

Bitcoin is an asset that demonstrated a high increase in price since it was launched in 2009, meanwhile it has been a very volatile and risky asset. Previous research has indicated that an allocation of bitcoin in investor’s portfolio could increase return as well as risk adjusted return. Furthermore, bitcoin has been observed to be uncorrelated to many markets; creating diversification opportunities and in some instances acted as a hedge against various stock markets. Due to the similarities between bitcoin and gold they have often been compared as alternative investment assets. Therefore, it is of interest for investors to understand if bitcoin could be included into a stock-portfolio in the Swedish market to increase risk adjusted returns and if bitcoin is a better alternative investment, than gold. Furthermore, if bitcoin could be used as hedge against the Swedish stock market. Three different portfolios with bitcoin were created, 1% bitcoin, 4% bitcoin and 8% bitcoin, the rest of the portfolio constitutes of Stockholm gross-index (OMXSGI). The portfolios are compared to OMXSGI and similar portfolios involving gold and OMXSGI. The portfolios are created for four different periods: 2011- 2021, 2016-2021, the bear market during the pandemic and the year 2020. Results reveals that during normal market behavior an 8% allocation of bitcoin and OMXSGI generates the highest Sharpe ratio. Also, that a small allocation of bitcoin can generate higher returns to lower risk then OMXSGI. During normal market behavior portfolio with bitcoin performs higher returns and Sharp ratio than portfolios with gold but to a higher risk. Additionally, bitcoin is not correlated to the Swedish market and implies that it possibly may be used as a hedge during normal market behavior. During the corona bear market bitcoin has a high correlation to OMXSGI and has a similar negative return but to a higher volatility. Meanwhile gold act as a safe haven during turbulent market behavior. To conclude during normal market times bitcoin creates opportunities for investors to include bitcoin to the portfolio. High allocations of 8% bitcoin might be too much risk for risk averse investors. During the corona bear market bitcoin portfolios generates worse returns to a higher risk and gold is a better asset to hold. Bitcoin and cryptocurrencies are assets which have some unique risks that cannot be measured by the Sharp ratio. Thus limit the results and analysis of the study.

No / It is a commonly held view that gold protects investors’ wealth in the event of negative economic conditions. In this study, we test whether other metals offer similar or better investment opportunities in periods of market turmoil. Using a sample of 13 sovereign bonds, we show that other precious metals, palladium in particular, offer investors greater compensation for their bond market losses than gold. We also find that industrial metals, especially copper, tend to outperform gold and other precious metals as hedging vehicles and safe haven assets against losses in sovereign bonds. However, the outcome of the hedge and safe haven properties is not always consistent across the different bonds. Finally, our analysis suggests that copper is the best performing metal in the period immediately after negative bond price shocks.

I denna studie undersöks guld som safe haven-tillgång och om den erbjuder tillflykt mot volatilitet, vilket är studiens huvudsakliga syfte. För att åstadkomma detta används data från VIX- och GVZ-indexet samt priset på guld under perioden 1994–2018. Guldets egenskaper testas mot safe haven-teorin via ett kvantitativt angreppsätt där korrelation, avkastning och standardavvikelse är ämne för undersökning i utvalda perioder. Guld visar sig bevara sitt värde under oroligheter – vilket syns genom att den genomsnittliga avkastningen för guld är högre när VIX befinner sig på höga nivåer. Dock misslyckas tillgången att förbli lågvolatil då guldets volatilitet stiger i takt med den förväntade volatiliteten på aktiemarknaden. Den förväntade volatiliteten i guldpriset, uttryckt genom GVZ, korrelerar dessutom med den förväntade volatiliteten på aktiemarknaden mätt av VIX-indexet. Däremot upptäcks knappt någon korrelation mellan guldets pris och förändringar i VIX-indexets värde. / The purpose of this study was to analyse whether gold fulfils the criteria for being a safe haven asset in certain conditions. Through the use of data pooled from CBOE’s VIX, GVZ and the spot price of gold, we employ a quantitative approach to analyse correlation, rate of return and standard deviation during times of market volatility. The chosen period for this analysis is the time between 1994 and 2018. Gold proved its ability to retain value during such conditions, which is evidenced by higher average returns when VIX has been at high levels. This strengthens its role as a safe haven asset. However, gold failed to keep a low level of volatility in periods of rising implied volatility on the stock market, as expressed by the VIX index. Moreover, the implied volatility of gold, expressed through the GVZ index, has shown a strong correlation with the VIX, indicating that gold is not a safe haven. Finally, the gold spot price was shown to have little to no correlation with changes in VIX.

Denna studie undersöker fem olika tillgångar under tre olika kriser för att se vilka tillgångar som kan definieras som en safe haven på den svenska aktiemarknaden. Tillgångarna som undersöks är guld, 10-årig statsobligation, japansk yen, schweizisk franc och amerikansk dollar. Kriserna som de undersöks under är IT-bubblan, finanskrisen och covid-19 pandemin. En safe haven tillgång definieras som en tillgång som inte är korrelerad eller negativt korrelerad med andra tillgångar eller portföljer under finansiella kriser, i denna studie jämförs respektive tillgång med den svenska aktiemarknaden. Den metod som används är kvantitativ med sekundärdata i form av den dagliga förändringen för aktiemarknaden och respektive tillgång. Dessa analyseras med hjälp av en regressionsmodell som fångar de dagar då marknaden fallit som mest där sambanden mellan tillgången och marknaden mäts för att få ett resultat. Bland de tillgångar som har undersökts finner studien att alla tillgångar förutom schweizisk franc har varit någon form av safe haven under en viss period för någon av de olika kriserna. / This study examines five different assets during three different crises to see which assets can be defined as a safe haven in the Swedish stock market. The assets examined are gold, 10-year government bonds, Japanese yen, Swiss francs and US-dollars. The crises in which they are investigated are the IT-bubble, the financial crisis and the covid-19 pandemic. A safe haven asset is defined as an asset that is not correlated or negatively correlated with other assets or portfolios during financial crises, in this study each asset is compared with the Swedish stock market. The method used is quantitative with secondary data in the form of the daily change for the stock market and the respective asset. These are analyzed using a regression model that captures the days when the market has fallen the most, where the relationship between the assets and the market are examined to get a result. Among the assets that have been examined, the study finds that all assets except the Swiss franc have been some form of safe haven during a certain period for any of the various crises.

Investing in commodities may have important benefits for investors but only in the last few decades have they started to think more about this possibility. Furthermore, large investors are more inclined to change their own personal view. Therefore, understanding the benefits that commodities could give to an investment portfolio might alleviate investors’ concerns. Several previous studies, as Belousova and Dorfleitner (2012) suggest, that the commodities with higher benefits are precious metals and gold, in particular. The purpose of our work is to understand which possible benefits are for equity investors and if they are common for certain commodities with different physical characteristics. The first part of our empirical work focuses on the main descriptive statistics of the return distribution (mean, variance, volatility, skewness, kurtosis and correlation) for 8 stock indices and 7 commodity futures. The main goal of this is to understand the differences among the commodities and between the commodities and the stock indices. In the second part of the empirical work, we test the safe-haven and the hedge properties of these commodities on a weekly basis for all of them with stock indices, and we do the same on a daily and monthly basis for only commodities which are negatively correlated on average with the stock indices. In the last part of our work, we combine these 7 commodities, following the principles of Bloomberg Commodity Index (BCOM), in order to create a well-balanced and well-diversified commodity index. Additionally, we create some mixed portfolios using this index and a different stock index every time. After that we look at the volatilities and the returns of these mixed portfolios with different weight combinations. Our main goals in this section are to understand the characteristics of the commodity index in comparison with stock indices and then, finding which weight combinations give the mixed portfolios the optimal risk-return trade off. Understanding which are efficient weights, can lead to conclusions about the weight that commodities should have in a portfolio according to the risk tolerance of the investors.  The research is done considering three time frequencies: daily, weekly and monthly; in line with the ones used by Baur and McDermott (2010). The sample size differs among these three different time basis. In fact, daily data started in January 2007 and the other two time frequencies data began with January 1997. All the time samples ended in March 2016. The results of the first part show that gold is the only commodity with a volatility similar to the stock indices (it also has a higher average return) and that on the daily, weekly and monthly basis. Whereas, the other commodities are much riskier than stock indices since they have higher volatility for all the three time-frequencies analyzed.  The results of the second part suggest that only gold is both a safe-haven and hedging commodity in line with the methodology used by Baur and McDermott (2010), but only for DAX 30 on a weekly basis. Furthermore, our results also show that natural gas is strong hedge in some cases such as natural gas for STI (Singapore) on a monthly basis or gold for Nikkei 225 on daily, weekly and monthly basis. Other commodities are neither safe-haven nor hedge in any case, except for silver which is a safe-haven commodity for DAX 30 and Sensex which at its worst, 1% and 5%, declines in the market respectively. The results of the last part of our work show that all the minimum variance mixed portfolios (the ones with the weights give the lowest risk) - made on a weekly basis - reduce the portfolio volatility and make the portfolio returns higher than the stock indices returns in 5 cases out of 8. Additionally, the results show how investors, who add a well-balanced and well-diversified commodity index to their portfolios, are able to observe several weight combinations and choose the one which suits their risk tolerance. Moreover, our results show that the optimal-weight combinations for commodity weights are lower than 0,5 only for FTSE 100 and S&P 500 (both values are 0,49) and higher than 0,62 but lower than 0,7 for DAX 30, Nikkei 225, Hang Seng, Sensex, SSEC. Furthermore, the optimal weight for STI is 0,54.

This paper analyzes the return connectedness between the biotechnology sector and other financial assets for 1 January 2000 to 31 December 2018, using an empirical approach from both time- and frequency-domain. The results reveal that the connectedness between the biotechnology sector and other financial assets are decreasing with time, entailing high diversification opportunities in the long-run. Our results also suggest that the spillover effect from the biotechnology sector is higher than the spillover effect to the biotechnology sector, proposing that the sector affects other financial assets to a greater extent than they affect the biotechnology sector. Concurrently, we found that the net directional connectedness is negative for the sector, which means that it does not transmit shocks to others since it is not subject to significant return or volatility shocks. This implies that the systematic risk connected to the biotechnology sector is lower than previous studies argue for. Thus, our main finding is that investments in the sector has safe haven properties, indicating that they are independent towards other sectors. By investing in the biotechnology sector, investors contribute to society and supports the R&D, leading to development of vital drugs. In light of this, we argue that investments in the sector are socially beneficial. Building on these insights, investments in the biotechnology sector are of importance when investing in a prosperous world.

During stormy weathers ships searched for safe havens to stay until the storm had subsided. In much similarity to these ships, investors on the financial markets search for safe assets when the markets start to shake. What could be considered a safe asset seems to be a never-ending discussion but many points out gold as one. However, no further observations of gold as a safe haven on the Swedish financial market has been made. The purpose of this research is to examine if gold could act as a safe haven in Sweden. The data used in this research is daily returns from OMXS30 and the 10-year Swedish government bond, where all returns also has been denominated in U.S. dollar. Further, statistical model has been used. The result show that gold potentially could act as a ‘safe haven’ for denominated stock returns but not for bond returns. Further, the result show that gold could act as a hedge for stock and bond return (non-denominated). The study concludes that gold does not act as a safe haven for stocks or bonds in Sweden. However, gold show weak safe haven attributes for denominated stock return.

Many economists and politicians have blamed fixed exchange rate regimes for several crises taking place in developing countries after the 1980s. According to them, since the beginning of the 2000s, widespread implementation of flexible exchange rate regimes and high international reserves have prevented developing countries from experiencing similar catastrophic experiences. This interpretation seems to be misleading. We believe that even flexible exchange rate regimes with high international reserves do not have a magic to prevent a financial crisis. Although flexible exchange rate regimes and high international reserves might have played some positive roles in the relatively calm period of 2001-2008 / the main reason behind the calmness of this period is the fact that developing countries did not face a strong financial shock during this period. In the presence of &ldquo / safe havens&rdquo / , which implies existence of safe developed countries for financial capital to move into, flexible exchange rate regimes and the accumulated large reserves may not be adequate when a wave of financial shocks, as in the form of sudden stops and capital reversals, hit developing countries. Indeed, the absence of safe heavens and very low yields in developed countries eased the pressure on developing countries during the recent financial crisis of 2008-2009. If developed economies get their safe haven status back, developing countries might face new financial shocks. In this sense developing countries would experience new financial crises in this new period. We will elaborate on the possible conditions of these prospective financial crises in this thesis.

This paper explores the possibility of gold and Bitcoin acting as safe haven investments during the Corona pandemic. To answer the research question the authors use OLS-, GARCH-, and TGARCH-models. The S&P 500 stock- and S&P U.S. Aggregate bond-indexes are used as a measure of the performance on U.S. stock- and bond-market. Safe haven assets have a negative beta during turbulent times and therefore the period of 2020-01-01 to 2022-03-31 will be analyzed. A period of five years leading up to the pandemic as well as the turbulent time period will be used as an average to enable comparison between regular and trying times. The results conclude that neither Bitcoin nor gold can be viewed as safe haven assets. However, it is found that both assets can work as diversifiers in the two markets.