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1

Atrakcyjność inwestycyjna inwestycji alternatywnych

100%

Aspadarec W., Szczeciński U.

FINANSE Czasopismo Komitetu Nauk o Finansach PAN

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2013

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vol. 1(6)

EN

The article presents alternative investments and quotes the example of hedge funds and managed futures strategy. For starters, the author offers a definition of alternative investments. Attention is also paid to hedge funds which represent the main group of alternative funds. The last section of the paper analyses investment attractiveness of funds based on managed futures strategy. The author also focuses on alternative investments whose value depends on performance. Finally, a conclusion is made that the greatest advantage of such investments is their potential for portfolio diversification due to slight correlation with traditional instruments.

2

The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility

100%

Karkowska R.

Faculty of Management Working Paper Series

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2013

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issue WPS 3/2013

1-13

EN

Article aims to demonstrate the significant impact of dynamics of the relationship between financial intermediaries on the level of market volatility. Particularly important are the growing share of the links between hedge funds and other financial institutions. In order to demonstrate the dynamic test was presented Granger causality, which allows the statistical analysis of cause and effect relationships in the risk spread in the financial system. Using multiple regression analysis study was calculated the impact of the hedge fund market development (measured in assets, leverage, the price volatility in various financial markets). Due to data availability study has been limited to 10-year period of analysis (2001-2011). The results show a significant correlation between the volatility in the stock market, bonds and CDS, and the activities of hedge funds on financial markets.

3

The prospective low risk hedge fund capital allocation line model: evidence from the debt market

88%

Vukovic D. B., Prosin V.

Oeconomia Copernicana

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2018

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vol. 9

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issue 3

419-439

EN

Research background: Institutional investors such as: commercial banks, pension funds, and insurance companies are constantly looking for low-risk stable investment opportunities, whereas one of the solutions can be a simulated portfolio. This research takes a look at the incentive to invest in government debt portfolios, as it can outperform the returns of deposit accounts. Purpose of the article: This study considers several classic methods of portfolio constriction and includes the basis of debt instruments that have not been a research topic for a long period of time. At the same time, this paper analyzes the classic methods of modern portfolio theory with a Sharpe ratio as an indicator of efficiency. Methods: The constructed portfolio consists of four elements from different countries: two government obligations and two bond indexes, aiming to employ international diversification. All the data was collected for the period of 12 years in order to represent the consequences of accrued recessions. Findings & Value added: The past two severe financial crises created a higher demand for stable investments, and more investors are ready to compromise a higher return for it. Therefore, the results of this paper represent a simulation of low-risk hedge fund portfolio construction with the use of highly rated debt instruments.

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1 FINANSE Czasopismo Komitetu Nauk o Finansach PAN

1 Faculty of Management Working Paper Series

1 Oeconomia Copernicana

1 Aspadarec W.

1 Karkowska R.

1 Prosin V.

1 Szczeciński U.

1 Vukovic D. B.

1 2018

1 2014

1 2013

Atrakcyjność inwestycyjna inwestycji alternatywnych

The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility

The prospective low risk hedge fund capital allocation line model: evidence from the debt market