Portfolio Risk, Hedging & Safe Havens
Tests of whether gold, green assets, cryptocurrency or other holdings actually hedge or shelter a portfolio in a crisis, and how to build the mix that does.
Which assets protect a portfolio, and when.
- Hedge Testing
- Whether an asset offsets losses on average, or only in extreme markets.
- Hedge Ratios
- How much of one asset offsets the risk in another, and how that changes over time.
- Tail Risk
- How portfolios behave in the extreme moves that averages hide.
- Portfolio Design
- Minimum-variance and optimal portfolios, backtested on real history.
Hedge and Safe-Haven Analysis
We test whether an asset works as a diversifier, a hedge or a safe haven, in normal markets and in crises.
- Diversifier, hedge or safe haven
- Crisis-period tests
- Asset class comparisons
Hedging Strategy
We estimate hedge ratios and hedging effectiveness, so you know the cost and benefit of each hedge.
- Dynamic hedge ratios
- Hedging effectiveness
- Cost of protection
Portfolio Optimisation
We build and backtest portfolio mixes that balance return against tail risk.
- Minimum-variance portfolios
- Tail-risk modelling
- Out-of-sample backtests
More research areas
All research areas- Financial Contagion & Systemic RiskHow shocks spread across markets and institutions.
- Sustainable Finance & ESGWhether green and ESG investments pay or protect.
- Climate Risk & Green InnovationClimate exposure, policy and environmental innovation.
- Interest Rate Risk & Financial InstitutionsRate exposure, profitability and capital in banks.
- Cryptocurrency & Digital AssetsCrypto as a diversifier, and what moves it.
- Corporate Governance & Board DiversityBoard composition and sustainability outcomes.
Planning a research project?
Tell us the question you need answered and we will suggest how to scope it.