When rationality meets passion : on the financial performance of collectibles

Masset, Philippe (Ecole hôtelière de Lausanne, HES-SO // University of Applied Sciences Western Switzerland) ; Weisskopf, Jean-Philippe (Ecole hôtelière de Lausanne, HES-SO // University of Applied Sciences Western Switzerland)

This article examines prior evidence and proposes an empirical study of the performance of passion investments in comparison with financial and real assets over the past 20 years. Over this period, classic cars and fine wines (but not visual art) display better returns than U.S. equity, fixed income, and real estate. Volatilities are, overall, low but increase once returns are adjusted for the inherent illiquidity on collectible markets. In a CAPM framework, only classic cars yield significant risk-adjusted returns with an annualized alpha of 5%. At the same time, correlations and systematic risk are low for all collectibles. This diversification benefit is confirmed by a 7% portfolio risk reduction following the inclusion of collectibles in a traditional financial portfolio. The authors further document that the inherent segmentation of collectible classes extends the benefits of cross-asset to intra-asset class diversification. Finally, they find that collectibles have performed slightly less well since the Global Financial Crisis.


Article Type:
scientifique
Faculty:
Economie et Services
School:
EHL
Subject(s):
Economie/gestion
Date:
2018-08
Pagination:
19 p.
Published in:
The Journal of Alternative Investments
Numeration (vol. no.):
2018, vol. 21, no 2, pp. 66-83
Appears in Collection:

Note: The status of this file is: restricted


 Record created 2018-10-22, last modified 2018-12-20

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