Strategie oparte na momentum i strukturze terminowej w warunkach finansjalizacji rynku surowców

• Autorzy: Adam Zaremba

Warianty tytułu

Strategies Based on Momentum and Term Structure in Financialized Commodity Markets

• Języki publikacji: PL

Abstrakty

Autor artykułu podejmuje próbę odpowiedzi na pytanie, w jaki sposób finansjalizacja rynku surowców wpływa na wyniki strategii inwestycyjnych opartych na momentum i strukturze terminowej. Artykuł obejmuje analizę ponadprzeciętnych stóp zwrotu z portfeli surowcowych kontraktów futures sortowanych podwójnie według obecności inwestorów finansowych oraz przeszłych stóp zwrotu lub nachylenia krzywych terminowych. Obie strategie wypracowują lepsze wyniki na rynkach cechujących się niskim poziomem finansjalizacji, natomiast na rynkach sfinansjalizowanych nie charakteryzują się statystycznie istotnymi ponadprzeciętnymi stopami zwrotu. Wyniki niniejszego opracowania mogą zostać wykorzystane w taktycznej alokacji aktywów, a także stać się przyczynkiem do stworzenia modelu wyceny kontraktów futures uwzględniającego strukturę uczestników rynku. (abstrakt oryginalny)

EN

This study attempts to answer the question of how the financialization of commodity markets affects the performance of strategies based on momentum and term-structure. The article includes an analysis of profitability from double-sorted portfolios regarding the participation of speculative traders, past returns and the shape of term spreads, tested against a multifactor risk model. Both strategies perform much better in non-financialized commodity markets, whereas in the case of financialized commodities they do not render statistically significant above-average returns. These observations could be used in tactical asset allocation and for constructing a commodity futures pricing model, which would take into account the influence of financial investors.(original abstract)

Słowa kluczowe

PL

Finansjeryzacja; Rynek surowców; Kontrakty futures; Strategie momentum

EN

Financialization; Materials market; Futures contracts; Momentum strategies

• Czasopismo: Studia Oeconomica Posnaniensia
• Rocznik: 2015
• Tom: 3
• Numer: nr 2
• Strony: 29--54

Twórcy

autor

Adam Zaremba

• Uniwersytet Ekonomiczny w Poznaniu

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