Safe Haven Benchmark Index

How should investors evaluate the effectiveness of a safe haven asset? In their July 2020 paper entitled “A Safe Haven Index”, Dirk Baur and Thomas Dimpfl devise and apply a safe haven index (SHI) to evaluate over 20 individual potential safe haven assets. SHI consists of seven equal-weighted assets: gold, Swiss franc, Japanese yen, 2-year, 10-year and 30-year U.S. Treasuries and 10-year German government bonds. For evaluations, they focus on four safe haven events: the October 1987 stock market crash, the September 2001 terrorist attacks, the September 2008 Lehman collapse and the March 2020 COVID-19 pandemic. Using daily data for index components and other potential safe haven assets as available during January 1985 through May 2020, they find that:

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