Przyczyny malejącej zyskowności funduszy kontraktów terminowych

• Autorzy: Adam Zaremba
• Języki publikacji: PL

Abstrakty

W pierwszej części artykułu zostanie przedstawiony podział i charakterystyka systemów zarządzania wykorzystywanych przez fundusze kontraktów terminowych. Jest to o tyle istotne, że funkcjonują one na zasadzie „czarnych skrzynek" , a dokładne strategie inwestycyjne niemal nigdy nie są znane inwestorom. Następnie zostaną przedstawione teorie rynków finansowych uzasadniające funkcjonowanie managed futures. Celem części drugiej jest weryfikacja, czy wspomniane teorie mogą wyjaśnić spadek skuteczności funduszy kontraktów terminowych. W ostatniej części dokonany zostanie przegląd dotychczasowych badań empirycznych nad analizą techniczną na rynkach surowcowych, walutowych i akcyjnych w okresie od lat 70. do początku XX w. (fragment tekstu)

Słowa kluczowe

PL

Kontrakty terminowe; Strategia inwestycyjna; Ryzyko inwestycyjne; Fundusze inwestycyjne

EN

Fixed-period contracts; Investment strategy; Investment risk; Investment funds

• Czasopismo: Ekonomista
• Rocznik: 2011
• Numer: nr 1
• Strony: 85--105

Twórcy

autor

Adam Zaremba

• Uniwersytet Ekonomiczny w Poznaniu

Bibliografia

• Alexander S.S., Price Movements in Speculative Markets: Trends or Random Walks, "Institutional Management Review", 1961, nr 2.
• Authers J., The Fearful Rise of Markets: Global Bubbles, Synchronized Meltdowns, and How to Prevent Them in the Future, FT Press, N.J. 2010.
• BarclayHedge Alternative Investments Database, http:/Avww.barclayhedge.com (27.12.2010).
• Bernstein J., Inwestor jednosesyjny. Day trading: systemy inwestycyjne, strategie, wskaźniki i metody analityczne, Oficyna Ekonomiczna, Wolters Kluwer Polska sp. z o.o., Warszawa 2002.
• Bessembinder H., Chan K., Market Efficiency and the Returns to Technical Analysis, "Financial Management" 1998, nr 27.
• Bikhchandani S., Hirshleifer D., Welch L, A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades, "Journal of Political Economy" 1992, t. 100, nr 5.
• Billingsley R.S., Chance D.M., Benefits and Limitations of Diversification among Commodity Trading Advisors, "Journal of Portfolio Management" 1996, nr 1.
• Black F., Noise, "Journal of Finance" 1986, t. 41.
• Blume L., Easley D., O'Hara M., Market Statistics and Technical Analysis: The Role of Volume, "Journal of Finance" 1994, t. 49.
• Burghardt G., Acworth W., 2008: A Wild Ride, "Futures Industry Magazine" 2009, March/April.
• Center for International Securities and Derivatives Markets (CISDM), The Benefits of Managed Futures: 2006 Update, Isenberg School of Management, University of Massachusetts, Boston 2006.
• Chang P.H.K., Osler C.L., Methodical Madness: Technical Analysis and the Irrationality of Exchange-Rate Forecasts, "Economic Journal" 1999, t. 109.
• Cheung Y.W., Chinn M.D., Marsh L W., How Do UK-Based Foreign Exchange Dealers Think Their Market Operates? "NBER Working Paper" 2000, nr 7524.
• Clyde W.C., Osler C.L., Charting: Chaos Theory in Disguise? "Journal of Futures Markets" 1997, t. 17.
• Cornell W.B., Dietrich J.K., The Efficiency of the Market for Foreign Exchange under Floating Exchange Rates, "Review of Economics and Statistics" 1978, t. 60.
• Covel M.W., Trend Following (Updated Edition): Learn to Make Millions in Up or Down Markets, FT Press, N.J. 2009.
• De Long J.B., Shleifer A., Summers L.H., Waldmann R.J, Positive Feedback Investment Strategies and Destabilizing Rational Speculation, "The Journal of Finance" 1990, t. 45, nr 2.
• Denton F.T., Data Mining as an Industry, "Review of Economics and Statistics" 1985, t. 67.
• Donchian R.D., High Finance in Copper, "Financial Analysts Journal" 1960.
• Erb C., Harvey C., The Strategic and Tactical Value of Commodity Futures, "Financial Analysts Journal" 2006, t. 62.
• Fama E.F., Blume M.E., Filter Rules and Stock Market Trading, "Journal of Business" 1966, nr 1.
• Fama E.F., Efficient Capital Markets: A Review of Theory and Empirical Work, "Journal of Finance" 1970, nr 2.
• Frankel J.A., Froot K.A., Chartist, Fundamentalists, and Trading in the Foreign Exchange Market, "American Economic Review" 1990, t. 80.
• Froot K.A., Scharfstein D.S., Stein J.C., Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation, "Journal of Finance" 1992, t. 47.
• Fung W., Hsieh D.A., The Information Content of Performance Track Records: Investment Style and Survivorship Bias in the Historical Performance of Commodity Trading Advisors, "Journal of Portfolio Management" 1997, nr 1.
• Garleanu N., Pedersen L.H., Liquidity and Risk Management, "The American Economic Review 97", 2007.
• Gorton G.B., Hayashi F, Rouwenhorst K.G., The Fundamentals of Commodity Futures Returns, Working Paper 2008, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=996930 (13.02.2011).
• Gorton G.B., Rouwenhorst K.G., Facts and Fantasies about Commodity Futures, "Financial Analysts Journal" 2006, nr 2.
• Grossman S.J., Stiglitz J.E., Information and Competitive Price Systems, "American Economic Review" 1976, t. 66.
• Grossman S.J., Stiglitz J.E., On the Impossibility of Informationally Efficient Markets, "American Economic Review" 1980, t. 70.
• Group of Thirty, The Foreign Exchange Market in the 1980s, New York 1985.
• Gupta R., Kazemi H., Factor Exposures and Hedge Fund Operational Risk: The Case of Amaranth, CISDM Working Paper 2009, http://papers.ssrn.com/sol3/papers.cfm7abstractjd=1509769 (13.02.2011).
• Hirshleifer D.A., Investor Psychology and Asset Pricing, "Journal of Finance" 2001, nr 4.
• Houthakker H.S., Systematic and Random Elements in Short-Term Price Movements, "American Economic Review", 1961, t. 51.
• Hwang S., Rubesam A., The Disappearance of Momentum, Working Paper 2007, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=968176 (13.02.2011).
• Irwin S.H., Park C.H., The Profitability of Technical Analysis in Commodity Markets, w: The Handbook of Commodity Investing, red. F.J. Fabozzi, R. Fuss, D.G. Kaiser, John Wiley & Sons Inc., Hoboken, N.J. 2008.
• Irwin S.H., Park C.H., What Do We Know About the Profitability of Technical Analysis? "Journal of Economic Surveys" 2007, nr 4.
• Irwin S.H., Uhrig J.W., Do Technical Analysts Have Holes in Their Shoes? "Review of Research in Futures Markets" 1984, nr 3.
• Ito A., Profits on Technical Trading Rules and Time-Varying Expected Returns: Evidence from Pacific-Basin Equity Markets, "Pacific-Basin Finance Journal" 1999, nr 3-4.
• Jaffarian E., Managed Futures, w: CAIA Level IŁ Advanced Core Topics In Alternative Investments, red. Ch. Wilkens, John Wiley & Sons Inc., Hoboken, N.J. 2009.
• Jensen M.C., Benington G.A., Random Walks and Technical Theories: Some Additional Evidence, "Journal of Finance" 1992, nr 2.
• Jensen M.C., Some Anomalous Evidence Regarding Market Efficiency, "Journal of Financial Economics" 1978, nr 2-3.
• Kahneman D., Tversky A., Judgment under Uncertainty: Heuristics and Biases, "Science" 1974, t. 185.
• Kidd W.V, Brorsen B.W., Why Have the Returns to Technical Analysis Decreased? "Journal of Economics and Business" 2004, nr 3.
• Korajczyk R., Sadka R., Are Momentum Profits Robust to Trading Costs? "Journal of Finance" 2004, nr 3.
• Lebeau C., Lucas D.W., Komputerowa analiza rynków terminowych, WIG-Press, Warszawa 1998.
• Lesmond D.A., Schill M.J., Zhou C., The Illusory Nature of Momentum Profits, "Journal of Financial Economics" 2004, nr 2.
• Levich R.M, Pojarliev M., Do Professional Currency Managers Beat the Benchmark? "Financial Analysts Journal" 2008, nr 5.
• Lhabitant F.S., Commodity Trading Strategies: Examples of Trading Rules and Signals from the CTA Sector, w: The Handbook of Commodity Investing, red. F.J. Fabozzi, R. Fuss, D.G. Kaiser, John Wiley & Sons, Hoboken, N.J. 2008.
• Lhabitant F.S., Hedge Funds: Quantitative Insights, John Wiley & Sons, London 2004.
• Lo A.W, Mamaysky H., Wang J., Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation, "Journal of Finance" 2000, nr 4.
• Lovell M.C., Data Mining, "Review of Economics and Statistics" 1983, t. 65.
• Lui Y.H., Mole D., The Use of Fundamental and Technical Analyses by Foreign Exchange Dealers: Hong Kong Evidence, "Journal of International Money and Finance" 1998, nr 17.
• Lukac L.P., Brorsen B.W., Irwin S.H.,^4 Test of Futures Market Disequilibrium Using Twelve Different Technical Trading Systems, "Applied Economics" 1988, nr 20.
• Marquering W, Nisser J., Valla T., Disappearing Anomalies: A Dynamic Analysis of the Persistence of the Anomalies, "Applied Financial Economics" 2006, nr 4.
• Menkhoff L., Examining the Use of Technical Currency Analysis, "International Journal of Finance and Economics" 1997, nr 2.
• Miffre J., Rallis G., Momentum Strategies in Commodity Futures Markets, "Journal of Banking and Finance" 2007, nr 6.
• Murphy J. J., Analiza techniczna rynków finansowych, WIG-Press, Warszawa 1999.
• Narang R.K., Inside the Black Box, John Wiley & Sons Inc, Hoboken, N.J. 2009.
• National Futures Association, http://www.nfa.futures.org (28.12.2010).
• Neely C. J., Weller P. A., Technical Analysis and Central Bank Intervention, "Journal of International Money and Finance" 2001, t. 20.
• Nison S., Świece i inne japońskie techniki analizowania wykresów, WIG-Press, Warszawa 1996.
• Olson D., Have Trading Rule Profits in the Currency Markets Declined over Time? "Journal of Banking and Finance" 2004, t. 28.
• Osler C.L., Support for Resistance: Technical Analysis and Intraday Exchange Rates, Federal Reserve Bank of New York, "Economic Policy Review" 2000, nr 6.
• Patel N., It's All in the Technique, "Risk Magazine" 2002, nr 49.
• Perold A., Salomon R., The Right Amount of Assets under Management, "Financial Analysts Journal" 1991, nr 3.
• Pirrong S.C., Momentum in Futures Markets, Working Paper 2005, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=671841 (13.02.2011).
• Poole W., Speculative Prices as Random Walks - An Analysis of Ten Time Series of Flexible Exchange Rates, "Southern Economic Journal" 1967, t. 33.
• Ratner M., Leal R.P.C., Tests of Technical Trading Strategies in the Emerging Equity Markets of Latin America and Asia, "Journal of Banking & Finance" 1999, t. 23.
• Ready M.J., Profits from Technical Trading Rules, "Financial Management" 2002, t. 31.
• Roberts M.C., Technical Analysis and Genetic Programming: Construction and Testing a Commodity Portfolio, "Journal of Futures Markets" 2005, nr 7.
• Rogers J., Hot Commodities: How Anyone Can Invest Profitably in the World's Best Market, Random House, New York 2004.
• Samuelson P.A., Proof That Properly Anticipated Prices Fluctuate Randomly, "Industrial Management Review" 1965, nr 2.
• Schleifer A., Vishny R., The Limits of Arbitrage, "Journal of Finance" 1997, nr 1.
• Schneeweis T., Kazemi H., Spurgin R., Momentum in Asset Returns: Are Commodity Returns a Special Case? "The Journal of Alternative Investments" 2008, nr 4.
• Serbin V, Bull P.M., Zhu H., The Capacity of Liquidity-Demanding Equity Strategies, "The Journal of Portfolio Management" 2009, nr 1.
• Shefrin H., Statman M., The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence, "Journal of Finance" 1985, nr 3.
• Silber W.L., Technical Trading: When It Works and When It Doesn't, "Journal of Derivatives" 1994, nr 1.
• Skarbiec TFI S.A., http://www.skarbiec.pl/kartaJunduszu/55 (27.12.2010).
• Smidt S., Amateur Speculators. Graduate, School of Business and Public Administration, Cornell University, Ithaca, N.Y. 1965.
• Sullivan R.A., Timmermann A., White H., Data Snooping, Technical Trading Rule Performance, and the Bootstrap, "Journal of Finance" 1999, t. 54.
• Sweeny R.J., Beating the Foreign Exchange Market, "Journal of Finance", 1986, t. 41.
• Szakmary A.C., Mathur L, Central Bank Intervention and Trading Rule Profits in Foreign Exchange Markets, "Journal of International Money and Finance" 1997, t. 16.
• Taylor M.P, Allen H., The Use of Technical Analysis in the Foreign Exchange Market, "Journal of International Money and Finance" 1992, nr 11.
• Taylor S.J., Trading Futures Using a Channel Rule: A Study of the Predictive Power of Technical Analysis with Currency Examples, "Journal of Futures Markets" 1994, t. 14.
• Till H., Amaranth Lessons Thus Far, "The Journal of Alternative Investments" 2008, nr 4.
• Till H., Eagleeye J., How to Design a Commodity Futures Trading Program, w: Commodity Trading Advisors. Risk, Performance Analysis and Selection, red. G.N. Gregoriou, V.N. Karavas, F.S. Lhabitant, F. Rouah, John Wiley & Sons, Hoboken, N.J. 2004.
• Till H., Passive Strategies in the Commodity Futures Markets, "Derivatives Quarterly", jesień 2000.
• Vangelisti M., The Capacity of an Equity Strategy, "Journal of Portfolio Management" 2006, nr 2.
• Van Horne J.C., Parker G.G.C., Technical Trading Rules: A Comment, "Financial Analysts Journal" 1968, nr 4.
• Van Horne J.C., Parker G.G.C., The Random-Walk Theory: An Empirical Test, "Financial Analysts Journal" 1967, nr 6.
• Wason P.C., On the Failure to Eliminate Hypotheses in a Conceptual Task, "The Quarterly Journal of Experimental Psychology" 1960, nr 12.
• Wilder J.W. Jr., Concepts in Technical Trading Systems, Hunter Publishing Co., Greensboro 1978.
• http://www.bloomberg.com