Fundusze kontraktów terminowych : nowa klasa aktywów inwestycyjnych?

• Autorzy: Adam Zaremba
• Języki publikacji: PL

Abstrakty

Fundusze klasy managed futures zdobywają w ostatnich latach rosnącą popularność wśród globalnych inwestorów indywidualnych i instytucjonalnych. Wśród powodów ich uznania w oczach inwestorów wskazuje się przede wszystkim fakt, że mogą one stanowić atrakcyjny element portfela inwestycyjnego nieskorelowany z tradycyjnymi aktywami. W opinii niektórych autorów fundusze managed futures stanowią odrębną klasę aktywów, której wariancja premii za ryzyko nie jest tłumaczona przez wariancję premii za ryzyko z innych klas aktywów. Niestety, testy typu mean-variance spanning przeprowadzone dla rynku polskiego nie pozwalają potwierdzić tejże tezy. Analiza stóp zwrotu z okresu 01.2000-06.2010 nie przynosi dowodów na istnienie znaczących korzyści z umieszczenia funduszy managed futures w portfelu inwestycyjnym. (fragment tekstu)

Słowa kluczowe

PL

Kontrakty futures; Inwestycje finansowe; Portfel inwestycyjny; Premia za ryzyko

EN

Futures contracts; Financial investment; Investment portfolio; Risk premium

• Czasopismo: Ekonomista
• Rocznik: 2010
• Numer: nr 5
• Strony: 741--757

Twórcy

autor

Adam Zaremba

• Uniwersytet Ekonomiczny w Poznaniu

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