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2010 | 4 | nr 4 | 115--130
Tytuł artykułu

Czy indeksy managed futures mówią prawdę? Problem obciążeń w bazach danych i indeksach oraz propozycje ich korygowania

Autorzy
Treść / Zawartość
Warianty tytułu
Are Managed Futures Indices Telling Truth? Biases in CTA Databases and Proposals of Potential Enhancements
Języki publikacji
PL
Abstrakty
Managed futures to jedna z alternatywnych klas aktywów, która w ostatnich latach zdobywa rosnącą popularność. Niemniej jednak, ze względu na charakter managed futures, dostęp do wypracowanych przez nią historycznych stóp zwrotu jest stosunkowo ograniczony. Wszelkie informacje pochodzą zwykle z baz danych, do których raportowanie ze strony funduszy jest zupełnie dobrowolne. Powoduje to powstanie szeregu obciążeń, które zniekształcają obraz inwestycji w managed futures z punktu widzenia inwestorów. Cele niniejszego artykułu obejmują przegląd i charakterystyka różnego rodzaju obciążeń, które wpływają na informacje płynące z baz danych i indeksów branży managed futures, a także próbę zaproponowania korekt, które umożliwią zredukowanie ich wpływu w taki sposób, aby inwestor otrzymał informacje rzetelnie odzwierciedlające charakter inwestycji w managed futures. (abstrakt oryginalny)
EN
Managed futures are an alternative asset class which has recently became considerably popular among investment industry. However, due to its characteristics, access to managed futures historical performance statistics is relatively confined. All available information originates from commercial and academic databases, reporting to which is entirely voluntary. This situation results in series of biases which distort the managed futures performance in the eyes of investors. The paper consists of two parts. First, the author reviews and describes various biases that influence the reliability of the managed futures indices and databases. The second section encompasses author 's proposals of potential enhancements, which aim to reduce the impact of the biases in order to derive a benchmark that could better reflect characteristics of managed futures investment from the point of view of a potential investor. (original abstract)
Rocznik
Tom
4
Numer
Strony
115--130
Opis fizyczny
Twórcy
autor
  • Uniwersytet Ekonomiczny w Poznaniu
Bibliografia
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Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171260367

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