Browsing by Author "Yasir Ayub"

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    Commodity Futures and Equities: A comparison on Risk and Return Basis (A case from Pakistan)
    (Library Information Services COMSATS University Islamabad Lahore Campus, 2015-02-04) Yasir Ayub; FA12-MSMS-023; Dr. Abdul Haque; LHR TP 4338
    This study investigates the risk and return characteristics of the two avenues of investment i.e. Commodity future and Equities in Pakistan. Number of Investment alternatives have been discovered in the recent past era but there is doubt in an investors mind that are these alternative investment classes are sound enough to replicate the traditional asset classes return and provide greater value to the investor. Whether this greater value comes in the form of Diversification benefit and reduction in the standard deviation. Are these new Asset classes are equally good in terms of Risk and Return and other benefits. So this study is dedicated to this issue there is an effort to decide are these alternative asset classes in the form of Commodity futures provide value to the investor. There are several benefits associated with Commodity futures investments as identified by various researcher and academics in the past. Moreover there is resurgence of Commodity Futures market in the especially after 1980’s which is an indication that commodity futures is somewhat capable to entice the investors. The benefits associated with the Commodity Futures investment are Equity like return, low correlation with the Equities i.e. diversification power, Inflation hedging, Better risk adjusted returns and much more. This study is dedicated to validate these benefits in context of Pakistan. This study contains the comparison of Risk and return characteristics of KSE-100 index (Equities) and Pmex index (Commodity Futures) in Pakistan along with some touch of individual Commodity futures contract and some internationally traded Commodity futures contract. Study also contains some deciding factors such as Sharp ratio. Results confirms the following facts first of all Commodity futures market in Pakistan provides better return as compared to Equities. Secondly there is low correlation between Pmex index and Equity index in Pakistan so this is the confirmation of the diversification potential in Commodity Futures and finally our Garch results confirms that there is presence of long memory and phenomenon of Volatility clustering in the Pmex index and KSe-100 index we have also predict the variances of these indices for the future