Dynamic Return Connectedness Between Commodities and Travel & Leisure ETFs : Investment Strategies and Portfolio Implications

We examine return connectedness between the largest US-based oil and gold ETFs and three major travel & leisure ETFs. Such analysis provides substantial value when understanding how investors can diversify sectoral risk. This research also compares several portfolio strategies to explore the interactive effects. Results indicate the existence of a high level of interdependence between gold, oil and the examined ETFs, where the Minimum Variance Portfolio (MVP) is found to be the most efficient. Robustness testing procedures reaffirm the finding that the gold ETF is an important portfolio rebalancing tool to specifically minimise risks associated with travel-related ETFs. Our results have important implications for investors and portfolio managers