eprintid: 1538984
rev_number: 42
eprint_status: archive
userid: 608
dir: disk0/01/53/89/84
datestamp: 2017-02-09 12:44:40
lastmod: 2021-10-10 23:01:32
status_changed: 2017-02-09 14:24:06
type: article
metadata_visibility: show
creators_name: Martinez-Oviedo, R
creators_name: Medda, F
title: Assessing the effects of adding Timberland and Farmland into resource-based Sovereign Wealth Fund portfolios
ispublished: pub
divisions: UCL
divisions: B04
divisions: C05
divisions: F44
keywords: Sovereign wealth funds, timber, farmland, asset allocation, oil risk, portfolio optimization
note: This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions.
abstract: Sovereign Wealth Funds (SWFs) have been prompted to reconsider their traditional asset allocations given
the underperformance of equity markets post-2008 financial crisis and the collapse of commodity prices in
recent years. Timberland and farmland investments are increasingly attracting the attention of these funds,
seeking higher and more stable returns and means to hedge commodity risk. However, analytical analyses
on the effect of these investments to SWFs are still limited. This paper studies the effects of including
timber and farmland investments in the strategic asset allocation (SAA) of an oil-based SWF. We model the
portfolio of investment of an SWF using Norway’s Government Pension Fund Global as a case study, and
gathering empirical data for the period Q1 2007 - Q1 2016. We examine how allocations in timberland and
farmland affect returns, the fund’s net growth, and the portfolio exposure to commodity risk. Our results
indicate that timber and farmland bring positive effects when supplanting equity investments, improve the
return-risk characteristic of the portfolio, and provide hedging again oil risk.
date: 2017-05
date_type: published
official_url: https://doi.org/10.1016/j.jeconbus.2017.01.002
oa_status: green
full_text_type: other
language: eng
primo: open
primo_central: open_green
verified: verified_manual
elements_id: 1206508
doi: 10.1016/j.jeconbus.2017.01.002
lyricists_name: Medda, Francesca
lyricists_id: FMEDD49
actors_name: Medda, Francesca
actors_id: FMEDD49
actors_role: owner
full_text_status: public
publication: Journal of Economics and Business
volume: 91
pagerange: 24-40
issn: 0148-6195
citation:        Martinez-Oviedo, R;    Medda, F;      (2017)    Assessing the effects of adding Timberland and Farmland into resource-based Sovereign Wealth Fund portfolios.                   Journal of Economics and Business , 91    pp. 24-40.    10.1016/j.jeconbus.2017.01.002 <https://doi.org/10.1016/j.jeconbus.2017.01.002>.       Green open access   
 
document_url: https://discovery.ucl.ac.uk/id/eprint/1538984/1/Medda_SWFpaper.pdf