| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 8942398 | Journal of Commodity Markets | 2018 | 39 Pages |
Abstract
Master limited partnerships (MLPs) in the energy sector offer positive alpha and a beta lower than one in more recent period of 2001-2016 as oil prices experience a big upward swing. Further analyses confirm a negative relation between MLPs' alphas and their betas, consistent with the pattern documented by Frazzini and Pedersen (2013). MLPs provide no hedge against inflation risk or against a volatile stock market. Simulations show that these MLPs provide investors with higher returns, lower risk, and thus a higher Sharpe ratio than the traditional strategy of buy-and-hold the S&P 500 index fund.
Keywords
Related Topics
Physical Sciences and Engineering
Energy
Renewable Energy, Sustainability and the Environment
Authors
Haiwei Chen, Thanh Ngo,