Assessing the Effectiveness of Some Defensive Assets in Global Stock Portfolios: Evidence from Daily Data (2021–2024)

This paper analyzes the effectiveness of some defensive assets inside global stock portfolios by applying a standard VaR approach to daily data from 2021 to 2024. The 5Y US note is by far the best hedging instrument for single-hedged portfolios, while in multiple-hedged portfolios further VaR reductions are obtained including commodities, utilities, and real estate stocks. Bitcoin’s hedging performance is strongly negative, displaying an average VaR difference of more than two basis points with respect to the best-performing multiple-hedged portfolio in moderately defensive scenarios. This gap implies much higher maximum potential daily losses for Bitcoin’s single-hedged portfolios. Dynamic risk profiles of multiple-hedged portfolios display a smoother pattern than single-hedged portfolios, particularly during turbulent periods corresponding to the start of the Russia–Ukraine war, emphasizing the crucial benefits of higher asset diversification.