Investment Risk Measurement for Agricultural ETF

Анотація

The aim of the paper is to measure the risk of agriculture ETF in the context of portfolio investment.The agriculture ETF be a special investment class which indicates relatively low correlated returns with traditional investment classes.One of the reasons of this is impact of weather and crop yield on return of such ETF which others types of ETF lacked.A sample of a basic agriculture ETF has been formed, which includes as diversified funds as a specific commodity ETF that targets to some agricultural product.To achieve the goal, we conducted a risk assessment using different approaches.Approaches based on variability conception and losses in negative situations are used.Special focus was applied for sensitivity analysis, which includes the Economic Policy Uncertainty index, and correlation analysis.Main results of research show differences in risk estimation for different types of agriculture ETF in comparison with ETF of traditional assets.Sensitivity analysis indicates high level of nonsystematic risk.Obtained results can be applied for creating "agriculture part" of a widely diversified investment portfolio.

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