Authors: Iordanis Eleftheriadis, Giannis Anastasovitis

Title: Diversification Benefits with Commodity Futures for the Investment Portfolio of a Greek Public Pension Fund

Abstract

The purpose of this paper is to investigate the possible beneficiary role of commodity futures in terms of risk diversification, for a Greek public pension fund investment portfolio. Using data for the period 28/1/2016 to 27/1/2021, we embody crude oil, gold and wheat futures in a hypothetical investment portfolio and we apply the Value-at-Risk (VaR) method. Empirical results reveal a significant reduction of VaR, while portfolio΄s returns and risk are faintly improved.