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ABSTRACT
We de-compose the S&P Goldman Sachs Commodity Index into its underlying commodity sub-categories and develop a modified conditional value at risk (CVaR) metric to examine downside risk linked to economic periods which are classified by their GDP growth as green, yellow, orange and red. We term this new metric economic CVaR (ECVaR). We found significant differences in the relative ECVaR rankings of different commodities over our different economic cycles.
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Acknowledgements
The authors wish to thank the editor and the two anonymous referees for their extremely helpful comments in improving the paper.
Disclosure statement
No potential conflict of interest was reported by the authors.
Additional information
Funding
This work was supported by Ho Chi Minh City Open University, Vietnam, [grant number E2016.9.9.a. dated 12 September 2016]