Živkov, Dejan Manić, Slavica Gajić Glamočlija, Marina Keywords: parametric and semiparametric downside risk, GARCH-NIG, risk-adjusted ratios Downside Risk and Risk-Adjusted Performances of Industrial Metals application/pdf 937687 bytes 2024 info:eu-repo/semantics/article eng http://creativecommons.org/licenses/by/4.0/legalcode Economic Computation and Economic Cybernetics Studies and Research.09 volume: 58 number: 1 startpage: 138 endpage: 152 Abstract. This paper investigates the level of risk and the risk-adjusted returns of five industrial metals. In the research process, we use several sophisticated approaches – EGARCH-NIG model, parametric and semiparametric CVaR risk measures, and four return- to-risk ratios. Aluminium has the lowest parametric CVaR at all probabilities, whereas lead has the upper hand in semiparametric CVaR. This happens because lead has the highest positive skewness and the lowest kurtosis. However, the riskiest metal is tin because of the highest negative skewness and highest kurtosis. As for the calculated ratios, copper is the best metal in the three out of four cases (Sharpe, Sortino, and modified STARR), primarily because copper recorded the highest price rise in the observed period. Aluminium has the best Treynor ratio because of the relatively low beta and the relatively high mean, whereas lead can serve as a good auxiliary instrument in combination with the S&P500 index due to the lowest beta. https://phaidrabg.bg.ac.rs/o:35514 doi:10.24818/18423264/58.1.24.09 ISSN: 0424-267X