Wykorzystanie surowców w dywersyfikacji portfela wobec zjawiska finansjalizacji

• Autorzy: Adam Zaremba

Warianty tytułu

Commodities in Portfolio Diversification in Times of Financialization

• Języki publikacji: PL

Abstrakty

Artykuł koncentruje się na korzyściach z dywersyfikacji portfela inwestycyjnego przy wykorzystaniu surowców w warunkach finansjalizacji rynków towarowych. Część pierwsza zawiera charakterystykę inwestycji na rynkach surowców oraz wskazuje korzyści z wykorzystania ich w budowie portfela. Część druga definiuje pojęcie finansjalizacji oraz obrazuje jej potencjalny wpływ na rynki surowców. Część trzecia przedstawia źródła danych oraz wykorzystane metody badawcze. Następnie zaprezentowano wyniki analizy empirycznej. Przeprowadzono symulację typu mean-variance spanning przed i po uwzględnieniu potencjalnego wpływu finansjalizacji. Analiza jest oparta na notowaniach z lat 1991-2012. Badania pozwalają stwierdzić, że wzrost korelacji pomiędzy rynkami surowców i rynkiem akcji podważa zasadność strategicznej alokacji portfela na rynkach surowców.(abstrakt oryginalny)

EN

The paper consideres the benefits of passive commodity investments in the context of financialization. I investigate the implications of the increaseing correlation between equity and commodity investments for commodity investors. The paper is composed of several parts. The first part describes the attributes of commodity investments and their benefits for the portfolio optimization. In the second part, I define the phenomenon of the financialization and develop my research hypothesis. The third section includes a description of data sources and research methods employed. Next, I present the results of the empirical analysis. I simulate the mean-variance spanning tests to examine the benefits of commodity investments before and after accounting for the impact of financialization. I proceed separate analyses for pre- and post-financialization period. The empirical research is based on asset classes' returns and other related variables from years 1991-2012. Research findings indicate that financialization may have significant implications for commodity investors. Because of the increase in correlations, the inclusion of the commodity futures in the traditional stock-bond portfolio appears to be no longer reasonable(original abstract)

Słowa kluczowe

PL

Portfel inwestycyjny; Rynki towarowe; Surowce; Rynek surowców; Finansjeryzacja

EN

Investment portfolio; Commodity markets; Raw materials; Materials market; Financialization

• Czasopismo: Studia Ekonomiczne / Polska Akademia Nauk. Instytut Nauk Ekonomicznych
• Rocznik: 2014
• Numer: nr 2 (81)
• Strony: 243--263

Twórcy

autor

Adam Zaremba

• Uniwersytet Ekonomiczny w Poznaniu

Bibliografia

• Abanomey W.S., Mathur I. (2001), Intercontinental portfolios with commodity futures and currency forward contracts, "Journal of Investing", Autumn, s. 61-68.
• Akey R.P. (2007), Alpha, beta, and commodities: Can a commodities investment be both a high-risk-adjusted return source and a portfolio hedge?, w: Intelligent Commodity Investing: New Strategies and Practical Insights for Informed Decision Makings, H. Till, J. Eagleeye (red.), Risk Books, London, England, s. 377-417.
• Ankrim E.M., Hensel C.R. (1993), Commodities in asset allocation: A real-asset alternative to real estate?, "Financial Analyst Journal", maj/czerwiec, s. 20-29.
• Anson M.J.P. (1999), Spot returns, roll yield and diversification with commodity futures, "Journal of Alternative Investments", Winter, s. 1-17.
• Anson M.J.P. (2006), Handbook of Alternative Investments, John Wiley & Sons, Inc., Hoboken, New Jersey, USA.
• Arditti E.D., Levy H. (1975), Portfolio efficiency analysis in three moments: The multiperiod case, "Journal of Finance", Vol. 30, No.No. 3, s. 797-809.
• Armstead K.J., Venkatraman R. (2007), Commodity returns - Implications for active management, w: Intelligent Commodity Investing: New Strategies and Practical Insights for Informed Decision Makings, H. Till, J. Eagleeye (red.), Risk Books, London, s. 293-312.
• Authers J. (2010), The Fearful Rise of Markets, FT Press, Upper Saddle River, New Jersey, USA.
• Bacon C.R. (2008), Practical Portfolio Performance Measurement and Attribution, John Wiley & Sons Ltd., Chichester, England.
• Basu D., Miffre J. (2013), Capturing the Risk Premium of Commodity Futures: The Role of Hedging Pressure, EDHEC Working Paper.
• Basu D., Miffre J. (2013), Capturing the Risk Premium of Commodity Futures: The Role of Hedging Pressure, Working Paper .
• Becker K.G., Finnerty J.E. (1994), Indexed commodity futures and the risk of institutional portfolios, "OFOR Working Paper", No. 94-02, January.
• Bekaert G., Urias M.S. (1996), Diversification, integration and emerging market closed- -end funds, "Journal of Finance", Vol. 51.
• Bekkers N., Doeswijk R.Q., Lam T.W. (2009), Asset allocation: determining the optimal portfolio with ten asset classes, "The Journal of Wealth Management", Vol. 12, No. 3, s. 61-77.
• Bessembinder H. (1992), Systematic risk, hedging pressure and risk premiums in futures markets, "Review of Financial Studies", Vol. 5, No. 4, s. 637-667.
• Bhardwaj G., Dunsby A. (2013), Of Commodities and Correlations, Journal of Indexes (online: http://www.indexuniverse.com/publications/journalofindexes/joi-articles/ 19085-of-commodities-and-correlations.html?showall=&fullart=1&start=6).
• Bjornson B., Carter C.A. (1997), New evidence on agricultural commodity return perfomance under time-varying risk, "American Journal of Agricultural Economics", Vol. 79, No. 3, s. 918-930.
• Bodie Z. (1983), Commodity futures as a hedge against inflation, "Journal of Portfolio Management", Vol. 9, No. 3 , s. 12-17.
• Bodie Z., Rosansky V.I. (1980), Risk and return in commodity futures, "Financial Analyst Journal", Vol. 36, No. 3, s. 27-39.
• Brennan M.J. (1991), The price of convenience and the valuation of commodity contingent claims, w: Stochastic Models and Options Values, D. Land, B. Oeksendal (red.), Elsevier Science Publications.
• Brunetti C., Reiffen D. (2011), Commodity Index Trading and Hedging Costs, Division of Research & Statistics and Monetary Affairs. Washington D.C.: Federal Reserve Board.
• Büyüksahin B., Haigh M.S., Robe M.A. (2008), Commodities and Equities: A Market of One?, Working Paper, Commodity Futures Trading Commission.
• Carter C.A., Rausser G.C., Schmitz A. (1983), Efficient asset portfolios and the theory of normal backwardation, "Journal of Political Economy", Vol. 91, No. 2, s. 319- 331.
• Chang E.C. (1985), Returns to speculators and the theory of normal backwardation, "Journal of Finance", Vol. 40, No. 1, s. 193-208.
• Chen Z., Knez P.J. (1996), Portfolio performance measurement: Theory and applications, "Review of Financial Studies", No. 9.
• Chong J., Miffre J. (2006), Conditional Risk Premia, Volatilities and Correlations in Commodity Futures Markets, SSRN Working Paper, http://ssrn.com/abstract= 822484.
• Cornish E.A., Fisher R.A. (1937), Moments and cumulants in the specification of distributions,
• "Review of the International Statistical Institute", Vol. 5, s. 307-320.
• Cvitanic J., Polimenish V., Zapaterox F. (2005), Optimal Portfolio Allocation with Higher Moments, working paper, http://www.hss.caltech.edu/~cvitanic/PAPERS/ Optlevy11.pdf.
• De Roon F.A., Nijman T.E., Werker B.J.M. (2001), Testing for mean-variance spanning with short sales constraints and transaction costs: the case of emerging markets, "Journal of Finance", Vol. 56.
• Deaton A., Laroque G. (1992), On the behavior of commodity prices, "Review of Economic Studies", Vol. 59, s. 1-23.
• DeRoon F.A., Nijman T.E. (2001), Testing for mean variance spanning: A survey, "Journal of Empirical Finance", Vol. 8, No. 2.
• De Santis G. (1993), Volatility bounds for stochastic discount factors: tests and implications from international financial markets, Chicago University Press, Chicago.
• Dittmar R.F. (2002), Nonlinear pricing kernels, kurtosis preference, and evidence from the cross section of equity returns, "Journal of Finance", Vol. 57.
• Doeswijk R.Q., Lam T. W. Swinkels L.A.P. (2012), Strategic Asset Allocation: The Global Multi-Asset Market Portfolio 1959-2011, SSRN Working Paper, http:// dx.doi.org/10.2139/ssrn.
• Domanski D., Heath A. (2007), Financial investors and commodity markets, "Bank of International Settlements Quarterly Review", March, s. 53-67 (http://www.bis.org/ publ/qtrpdf/r_qt0703.pdf).
• Dunsby A., Eckstein J., Gaspar J., Mulholland S. (2008), Commodity Investing. Maximizing Returns through Fundamental Analysis, John Wiley & Sons, Hoboken, USA.
• Dusak K.(1973), Futures trading and investor returns: An investigation of commodity market risk premiums, "Journal of Political Economy", Vol. 81, No. 6, s. 1387- 1406.
• Dwyer A., Gardner G., Williams T. (2011), Global Commodity Markets - Price Volatility and Financialisation, Reserve Bank of Australia Bulletin, June (online: http://www.rba.gov.au/publications/bulletin/2011/jun/pdf/bu-0611-7.pdf).
• Einloth J.T. (2009), Speculation and Recent Volatility in the Price of Oil, FDIC Working Paper.
• Erb C., Harvey C. (2006a), The tactical and strategic value of commodity futures, "Financial Analysts Journal", Vol. 62, No. 2 s. 69-97.
• Erb C.B., Harvey C.R., (2006b) Unconditional Alpha, Working Paper, Duke University.
• Faber M., Richardson E. (2009), The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets, Wiley, USA.
• Fama E., French K. (1988), Business cycles and the behaviour of metals prices, "Journal of Finance", Vol. 43, s. 1075-1093.
• Fama E.F., French K.R. (1987), Commodity Futures Prices: Some Evidence of Forecast Power, Premiums, and the Theory of Storage, "Journal of Business", Vol. 60, No. 1, s. 55-73.
• Fang H., Lai T.Y. (1997), Co-Kurtosis and Capital Asset Pricing, "Financial Review", Vol. 32, No. 2, s. 292-307.
• Favre L., Galeano J. (2002), Mean-modified value-at-risk optimization with hedge funds, "The Journal of Alternative Investments", Vol. 5, No. 2.
• Ferson W., Foerster S.R., Keim D.B. (1993), General tests of latent variable models and mean-variance spanning, "Journal of Finance", Vol. 48.
• Froot K.A.(1995), Hedging portfolios with real assets, "Journal of Portfolio Management", Summer, s. 60-77.
• Fuss R., Kaiser D.G., Rehkugler H., Butina I. (2006), Long-Term co-movements between hedge funds and financial asset markets, w: Hedge Funds and Managed Futures: A Handbook for Institutional Investors, G.N. Gregoriou, D.G. Kaiser (red.), Risk Books, London, England.
• Fusss R., Hoppe C., Kaiser D.G. (2008), Review of commodity futures performance benchmarks, w: The Handbook of Commodity Investing, F.J. Fabozzi, R. Fuss, D.G. Kaiser (red.), John Wiley & Sons, Inc., Hoboken, New Jersey, USA.
• Garcia P., Leuthold R.(2004), A selected review of agricultural commodity futures and option markets, "European Review of Agricultural Economics", Vol. 31, No. 3, s. 235-272.
• Georgiev G. (2001), Benefits of commodity investment, "Journal of Alternative Investments", Summer, s. 40-48.
• Gilbert C.L. (2009), Speculative Influences on Commodity Futures Prices, 2006-2008, University of Trento Working Paper.
• Gilbert C.L. (2010), How to understand high food prices, "Journal of Agricultural Economics", Vol. 61, s. 398-425.
• Gorton G., Rouwenhorst K.G. (2006), Facts and fantasies about commodity futures, "Financial Analyst Journal", Vol. 62, No. 2, s. 47-68.
• Greer R.J.(1978), Conservative commodities: A key inflation hedge, "Journal of Portfolio Management", Summer, s. 26-29.
• Greer R.J.(2000), The nature of commodity index returns, "Journal of Alternative Investments", Vol. 3, No. 1, s. 45-52.
• Hafner R., Heiden M. (2008), Statistical analysis of commodity futures returns, w: The Handbook of Commodity Investing, F.J. Fabozzi, R. Fuss, D.G. Kaiser (red.), John Wiley & Sons, Inc., Hoboken, New Jersey, USA, s. 227-240.
• Hamilton J.D. (2011), Nonlinearities and the macroeconomic effects of oil prices, "Macroeconomics Dynamics", No. 15 (S3), s. 364-378.
• Harvey C.R., Liechty J.C., Liechty M.W., Muller P.(2004), Portfolio Selection With Higher Moments, Working Paper, (https://faculty.fuqua.duke.edu/~charvey/ Research/Working_Papers/W70_Portfolio_selection_with.pdf).
• Heidorn T., Demidova-Menzel N. (2008), The effect of gold in a traditional portfolio, w: The Handbook of Commodity Investing, F.J. Fabozzi, R. Fuss, D.G. Kaiser (red.), John Wiley & Sons, Inc., Hoboken, New Jersey, USA, s. 736-762.
• Huberman G., Kandel S. (1987), Mean-variance spanning, "Journal of Finance", Vol. 42.
• Idzorek T.M. (2006), Strategic Asset Allocation and Commodities, Ibbotson Associates White Paper, marzec.
• Idzorek T.M. (2007), Commodities and strategic asset allocation, w: Intelligent Commodity Investing. New Strategies and Practical Insights for Informed Decision Making, H. Till, J. Eagleeye (red.), Risk Books, London, England.
• Inamura Y., Kimata T., Kimura T., Muto T. (2011), Recent Surge in Global Commodity Prices - Impact of Fnancialization of Commodities and globally Accommodative Monetary Conditions, Bank of Japan Review (online: http://www.boj.or.jp/en/research/ wps_rev/rev_2011/data/rev11e02.pdf - data dostępu: 14 sierpnia 2011 r.).
• Irwin S.H., Sanders D. (2012), Financialization and structural change in commodity futures markets, "Journal of Agricultural and Applied Economics", Vol. 44, No. 3, s. 371-396.
• Irwin S.H., Sanders D.R. (2011), Index funds, financialization and commodity futures markets, "Applied Economics Perspectives and Policy", Vol. 33.
• Jaffe J.F. (1989), Gold and gold stocks as investments for institutional portfolios, "Financial Analyst Journal", Vol. 45, No. 2, s. 53-60.
• Jensen G.R., Johnson R.R., Mercer J.M (2000), Efficient use of commodity futures in diversified portfolios, "Journal of Futures Markets", Vol. 20, No. 5, s. 489-506.
• Jobson J.D., Korkie B.M. (1989), A performance interpretation of multivariate tests of intersection, spanning and asset pricing, "Journal of Financial and Quantitative Analysis", Vol. 24.
• Johanning L., Proelss J., RosenbushA.Ph., Schweizer D. (2006), Strategy selection for hedge fund and managed futures portfolios using higher moments, w: Hedge Funds and Managed Futures: A Handbook for Institutional Investors, G.N. Gregoriou, D.G. Kaiser (red.), Risk Books, London, England, s. 301-322.
• Kaplan P.D., Lummer S.L. (1998), GSCI collateralized futures as a hedging and diversification tool for institutional portfolios, "The Journal of Investing", Vol. 7, No. 4, s. 11-17.
• Kat H.M., Oomen R.C.A. (2007a), What every investor schould know about commodities, Part I: Univariatereturn analysis, "Journal of Investment Management", Vol. 5, No. 1, s. 1-25.
• Kooli M. (2006), Funds of funds and the diversification effect, w: Funds of Hedge Funds. Performance, Assessment, Diversification and Statistical Properties, G.N. Gregoriou (red), Elsevier, Oxford, England, s. 239-250.
• Kyle A., Xiong W. (2001), Contagion as a wealth effect, "Journal of Finance", No. 56, s. 1401-1440.
• Markowitz H.M. (1952), Portfolio selection, "Journal of Finance", Vol. 7, No. 1, s. 77-91.
• Masters M.W. (2008), Testimony before Committee on Homeland Security and Government Affairs, U.S. Senate, the 20th of May, 2008.
• Mayer J. (2010), The Financialization of Commodity Markets and Commodity Price Volatility, UNCTAD the Financial and Economic Crisis of 2008-2009 and Developing Countries Report, s. 73-98.
• Nijman T.E., Swinkels L.A.P. (2008), Strategic and tactical allocation to commodities for retirement savings schemes, w: The Handbook of Commodity Investing, F.J. Fabozzi, R. Fuss, D.G. Kaiser (red.), John Wiley & Sons, Inc., Hoboken, New Jersey, USA, s. 522-547.
• Oztek M.F., Ocal N. (2013), Financial Crises, Financialization of Commodity Markets and Correlation of Agricultural Commodity Index with Precious Metal Index and S&P500, ERC Working Papers in Economics 13/02.
• Palley T.I.I. (2013), Financialization: The Economics of Finance Capital Domination, Palgrave Macmillan, New York.
• Pratt J., Zeckhauser R. (1987), Proper risk aversion, "Econometrica", Vol. 55, No. 1, s. 143-154.
• Rogers J. (2004/2007), Hot Commodities: How Anyone Can Invest Profitably in the World's Best Market, Random House, New York, NY, USA.
• Samuelson P.A. (1970), The fundamental approximation theorem of portfolio analysis in terms of means, variances and higher moments, "Review of Economic Studies", Vol. 37, No. 4, s. 537-542.
• Satyanarayan S., Varangis P. (1994), An Efficient Frontier for International Portfolio and Commodity Assets, Policy Research Working Paper 1266, World Bank, marzec.
• Scherer B., He L. (2008), The diversification benefits of commodity futures indexes: A mean-variance spanning test, w: The Handbook of Commodity Investing, F.J. Fabozzi, R. Fuss, D.G. Kaiser (red.), John Wiley & Sons Inc., Hoboken, New Jersey, USA, s. 266-310.
• Scott R., Horvath P. (1980), On the direction of preference for moments of higher order than the variance, "Journal of Finance", Vol. 35, No. 4, s. 915-919.
• Shore M.S. (2008), Introducing alternative investments in a traditional portfolio: The case of commodities, hedge funds, and managed futures, w: The Handbook of Commodity Investing, F.J. Fabozzi, R. Fuss, D.G. Kaiser (red.), John Wiley & Sons, Inc., Hoboken, New Jersey, USA, s. 504-512.
• Silvennoinen A., Thorp S. (2013), Financialization, crisis and commodity correlation dynamics, "Journal of International Financial Markets, Institutions and Money", Vol. 24, s. 42-65.
• Sorensen C. (2002), Modelling seasonality in agricultural commodity futures, "Journal of Futures Markets", Vol. 22, No. 5, s. 393-426.
• Strongin S., Petch M.(1995), The Mid-Cycle Pause: A Buy Signal for Commodities, Goldman Sachs Commodity Research.
• Strongin S., Petch M. (1996), Asset Returns and the Economic Environment, Goldman Sachs Commodity Research.
• Tang K. (2011), Financialization of Commodities, presentation at the Global Commodities Forum, 31.01.-01.02.2011, Geneva, Switzerland (online: http://www. unctad.info/upload/GCF2011/doc/A4-A8/gcf2011_A4_KeTang.en.pdf).
• Tang K., Xiong W. (2010), Index investment and financialization of commodities, "NBER Working Paper", No. 16385.
• TDR (2009), Trade and Development Report, United Nations Conference on Trade and Development, Geneva.
• Till H. (2000a), Passive Strategies in the Commodity Futures Markets, "Derivatives Quaterly", Autumn (online: http://www.premiacap.com/publications/DQ_Fall00. pdf - data dostępu: 25 grudnia 2010).
• Till H. (2000b), Two types of systematic returns available in the commodity futures markets, "Commodities Now", August , s. 1-5.
• Till H. (2007a), Part I of a long term perspective on commodity futures returns: Review of historical literature, w: Intelligent Commodity Investing: New Strategies and Practical Insights for Informed Decision Makings, H.Till, J. Eagleeye (red.), Risk Books, London, England, s. 39-82.
• Till H. (2007b), Introduction to a long-term perspective on commodity futures returns, w: Intelligent Commodity Investing: New Strategies and Practical Insights for Informed Decision Makings, H. Till, J. Eagleeye (red.), Risk Books, London, England, s. 35-38.
• Till H. (2007c), Part II of a long term perspective on commodity futures returns: Term structure as the primary driver of returns, w: Intelligent Commodity Investing: New Strategies and Practical Insights for Informed Decision Makings, H. Till, J. Eagleeye (red.), Risk Books, London, England, s. 83-94.
• Till H. (2008), Amaranth lessons thus far, "The Journal of Alternative Investments", Vol. 10, No. 4, s. 82-98.
• Till H., Eageleye J. (2003a), The risks of commodity investing, w: The New Generation of risk Management for Hedge Fund and Private Equity Investments, L. Jaeger (red.), Euromoney Books, London.
• Till H., Eagleeye J. (2003b), Timing is everything, especially with a commodity index, "Futures Magazine", sierpień.
• Vdovenko A. (2013), Impact of Financializtion on the Roll Return of Commodities, Master Thesis, Tilburg University, Tilburg.
• Zaremba A. (2013a), Konsekwencje finansjalizacji dla inwestorów na rynkach surowców, III Ogólnopolska Konferencja Bezpieczeństwo energetyczne - Rynki surowców i energii, Poznań 19-20 listopada 2013.
• Zaremba A. (2013b), Is Financialization Killing Commodity Investments? SSRN Working Paper (http://ssrn.com/abstract=2349903).
• Zaremba A. (2011), Causes of the falling profitability of managed futures, "Ekonomista", nr 1, s. 85-105.
• Zaremba A. (2014), Inwestycje na rynkach towarowych w czasach finansjalizacji, Helion, Gliwice.