PL EN


2014 | 48 | 3 |
Article title

Indeksy towarowe III generacji a efektywność inwestycji finansowych na rynkach towarowych

Content
Title variants
Languages of publication
PL
Abstracts
PL
Artykuł nie zawiera abstraktu w języku polskim
EN
Financial products based on commodity indices have become a favourite tool for gaining exposure to commodities markets by financial investors. During the early years of the century these indices evolved to better represent real market investment strategies. The most significant development is the introduction of the 21st so-called third generation commodity indices. Their main new feature is the inclusion of an active element of portfolio construc- tion. Empirical analysis has shown that during the period of 2008-2012 third generation indices have managed to generate superior investment performance in terms of returns and risk characteristics as compared to traditional commodity indices or stock indices. It has to be noted, however, that these new indices represent a significant departure from the traditional passive approach to commodity investing and are in fact actively managed investment portfolios, whose performance rely to a large extent on the quality of investment prowess of the institution responsible for index calculation. The main driving force, behind the evolution of commodity indices construction, were the needs of portfolio financial investors which might be interpreted as another sign of commodity markets financialization. However, it has to be noted that these new indices do not replace the traditional first generation indices but they are being published simultaneously. Shifting activities of portfolio inves- tors into these new indices may eventually help traditional indices better serve their primary role as commodity market price indicators.
Keywords
PL
EN
Year
Volume
48
Issue
3
Physical description
Dates
published
2014
online
2015-05-23
Contributors
References
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  • The Commodity Refiner: From an age of shortage to an era of enough?, Barclays Commodities Research, April 2013.
  • Tomaszewski J., Instrumenty towarowe jako forma inwestycji alternatywnych w portfelach inwe- storów finansowych, Oficyna Wydawnicza SGH, Warszawa 2013.
  • Tomaszewski J., Inwestycje w indeksy rynków towarowych a poziom cen i ryzyka na rynkach towarowych, Annales Universitatis Mariae Curie-Skłodowska, Sectio H: Oeconomia, vol. XLVI, 1, Lublin 2012.
  • Tsui P., Dash S., Dynamic Roll of Commodities Futures: An Extended Framework, S&P Indices Working Paper, February 2011.
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.ojs-doi-10_17951_h_2014_48_3_349
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