Search results

1

“SECURITY THROUGH DIVERSITY”: PORTFOLIO DIVERSIFICATION OF PRIVATE PENSION FUNDS

100%

Kompa K., Wiśniewski T.

Metody Ilościowe w Badaniach Ekonomicznych

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2014

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vol. 15

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issue 1

50-57

EN

The program for pension system reform, launched at the beginning of 1997 in Poland, was called by its authors “Security through Diversity”. This title emphasizes that pension reform, which is designed to guarantee security for the insured, has to combine pay-as-you-go pillar together with mandatory, fully funded pillar as well as voluntary, funded pillar. This paper discusses consequences of the changes implemented in the year 2013 and consequently analyzes the changes in the composition of the pension funds’ portfolio, in particular the prohibition of investing in debt securities issued and guaranteed by the State Treasury.

2

Cross Market Dependencies. The Analysys of Selected Investment Strategies

100%

Wojciechowski L.

Studia Prawno-Ekonomiczne

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2017

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vol. 102

323-336

EN

The relationship between capital markets is important topic both from a theoretical and practical point of view. This problem is usually considered on the basis of market efficiency theory and ability to predict future price of financial instruments basing on historical data. In this article we verify the hypothesis states the higher susceptibility and predictability of capital markets in emerging economies compared with developed countries against the situation on the world’s largest stock exchanges. The impact of changes on American Stock Exchange (DJIA) and Japanese (NIKKEI) on the German (DAX) as well as Polish (WIG) stock exchange is investigated. Empirical research in the period 2012–2014 includes, among others, correlation, Granger causality analysis and co-integration in order to determine short-term and long-term relationship between individual time series. We proposed 6 investment strategies based on interdependencies between these markets and rated them in terms of effectiveness in predictive ability meaning.

PL

Zależności między rynkami kapitałowymi stanowią ważny zarówno z teoretycznego, jak i praktycznego punktu widzenia obszar badawczy. Zagadnienie to rozpatrywane jest najczęściej na gruncie teorii efektywności rynku, możliwości skutecznej predykcji przyszłych cen instrumentów finansowych na podstawie danych historycznych. W artykule postanowiono zweryfikować hipotezę zakładającą wyższą podatność i przewidywalność rynków kapitałowych w krajach rozwijających się jak Polska w porównaniu z krajami rozwiniętymi na tle sytuacji na największych światowych giełdach. Rozważaniu poddano wpływowość giełdy amerykańskiej (indeks DJIA) oraz japońskiej (indeks NIKKEI) na giełdę niemiecką (indeks DAX) oraz polską (indeks WIG). Badanie empiryczne za okres 2012–2014 obejmowało m.in. analizę korelacji, przyczynowości w sensie Grangera i kointegracji w celu określenia zależności krótkookresowych i długookresowych. Zaproponowano 6 strategii inwestycyjnych bazujących na współzależnościach międzyrynkowych i oceniono je efektywność pod kątem zdolności predykcyjnej, co stanowiło cel niniejszego artykułu.

3

Opportunities and threats associated with an investment in shares of innovative companies - evidence from Polish capital market

100%

Nawrocki T. L.

Oeconomia Copernicana

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2018

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vol. 9

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issue 2

225-244

EN

Research background: Since the Internet bubble, which took place at the turn of XX and XXI century, on the global capital markets, including Poland, one may note a growing interest in companies focusing on innovations and innovativeness. The main driver of this interest is the belief that in a longer term innovations and expenditures on research and development will translate into an increase in competitive advantage, financial results, and subsequently also the market value of companies. On the other hand, the attention should also be paid to the fact that innovative activity has also another, darker, side, which is identified with the far-reaching uncertainty about its final effects and the possibility of incurring losses, especially in financial dimension. At the same time, it should be noted that implementation of investment strategy regarding the shares of innovative companies is quite troublesome because of the lack of unified methodology for assessing corporate innovativeness and large information diversity in this area. Purpose of the article: The investment efficiency analysis of investment strategy regarding shares of companies perceived to be innovative with simultaneous focusing on the different cases of situation development in time. Methods: The research was carried out for companies listed on the main market of the Warsaw Stock Exchange, taking into consideration various time ranges of investment. The efficiency analysis of this investment strategy was conducted in the risk-return outlay with the use of such measures as: accumulated rate of return, arithmetic average rate of return, standard and semi-standard deviation, as well as coefficients of variation and semi-variation of rate of return and their inverses. Findings & Value added: The obtained results show that in shorter periods of time, inves-tors buy expectations connected with innovative companies and therefore, the efficiency of investment in their shares is relatively high, but in the longer term expectations are revised by companies' financial results, which in turn often negatively affects the investment efficiency.

4

Design and evaluation of trading strategy in a-trader system

100%

Korczak J., Hernes M., Maciej B.

Informatyka Ekonomiczna

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2014

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issue 3(33)

88-101

XX

The article presents an approach to the performance analysis of trading strategies in the a-Trader system. A-Trader supports investment decisions on the FOREX market. The first part of the article contains a description of the a-Trader system from the user viewpoint. Next, the algorithms of the selected agents’ strategies are presented. In the last part of the article, the performance evaluation of strategies is proposed and illustrated.

5

The effectiveness of capital management strategies used by the investment funds in Poland

88%

Trippner P.

Przedsiębiorczość i Zarządzanie

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2014

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vol. 15

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issue 2

119-129

EN

Collective investors play an extremely important role in the financial system of the state and in the economy. They operate in the financial market as institutions that enable households and businesses to convert savings into investments. Investment funds are the most conventional institutions which are dealing with financial intermediation. The main purpose of the submitted paper is to characterise the essence of investment funds operation in the role as financial intermediaries, to present the investment strategies and to characterise the methodology for measuring the effectiveness of capital management entrusted by the clients. The author has formulated a research hypothesis, according to which, the strategies of capital location policy used by the investment funds have an impact on the level of their performance, while funds holding higher risk portfolios perform better compared to the funds using passive investment strategies

6

The Effectiveness of the Transaction Systems on the Dax Index

88%

Trembiński M., Stawska J.

Finanse i Prawo Finansowe

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2020

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vol. 4

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issue 28

149-174

EN

The purpose of the article/hypothesis: The aim of this article is to examine the effectiveness of trading systems built on the basis of technical analysis tools in 2015–2020 on the DAX stock exchange index. Efficiency is understood as generating positive rates of return, taking into account the risk incurred by the investor, as well as achieving better results than passive strategies. Presenting empirical evidence implying the value of technical analysis is a difficult task not only because of a huge number of instruments used on a daily basis, but also due to their almost unlimited possibility to modify parameters and often subjective evaluation.Methodology: The effectiveness of technical analysis tools was tested using selected investment strategies based on oscillators and indicators following the trend. All transactions were carried out on the Meta Trader 4 platform. The analyzed strategies were comprehensively assessed using the portfolio management quality measures, such as the Sharpe measure or the MAR ratio (Managed Account Ratio).Results of the research: The test results confirmed that the application of described investment strategies contributes to the achievement of effective results and, above all, protects the portfolio against a significant loss in the period of strong turmoil on the stock exchange. During the research period, only two strategies (Ichimoku and ETF- Exchange traded fund) would produce negative returns at the worst possible end of the investment. At the best moment, however, the „passive” investment achieved the lowest result. Looking at the final balance at the end of 2019, as many as four systems based on technical analysis were more effective than the „buy and hold” strategy, and at the end of the first quarter of 2020 – all of them. When analyzing the management quality measures, it turned out that taking into account the 21 quarters, the passive strategy had the lowest MAR index. The Sharpe’s measure is also relatively weak compared to the four leading strategies.

7

The Effectiveness of the Transaction Systems on the Dax Index

88%

Trembiński M., Stawska J.

Finanse i Prawo Finansowe

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2021

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issue Numer Specjalny

159-184

EN

The purpose of the article/hypothesis: The aim of this article is to examine the effectiveness of trading systems built on the basis of technical analysis tools in 2015–2020 on the DAX stock exchange index. Efficiency is understood as generating positive rates of return, taking into account the risk incurred by the investor, as well as achieving better results than passive strategies. Presenting empirical evidence implying the value of technical analysis is a difficult task not only because of a huge number of instruments used on a daily basis, but also due to their almost unlimited possibility to modify parameters and often subjective evaluation. Methodology: The effectiveness of technical analysis tools was tested using selected investment strategies based on oscillators and indicators following the trend. All transactions were carried out on the Meta Trader 4 platform. The analyzed strategies were comprehensively assessed using the portfolio management quality measures, such as the Sharpe measure or the MAR ratio (Managed Account Ratio). Results of the research: The test results confirmed that the application of described investment strategies contributes to the achievement of effective results and, above all, protects the portfolio against a significant loss in the period of strong turmoil on the stock exchange. During the research period, only two strategies (Ichimoku and ETF- Exchange traded fund) would produce negative returns at the worst possible end of the investment. At the best moment, however, the „passive” investment achieved the lowest result. Looking at the final balance at the end of 2019, as many as four systems based on technical analysis were more effective than the „buy and hold” strategy, and at the end of the first quarter of 2020 – all of them. When analyzing the management quality measures, it turned out that taking into account the 21 quarters, the passive strategy had the lowest MAR index. The Sharpe’s measure is also relatively weak compared to the four leading strategies.

8

Analiza zjawiska „regresji cen do średniej” na polskim rynku akcyjnych funduszy inwestycyjnych w latach 2001-2016

75%

Kowalke K.

Świat Nieruchomości

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2017

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issue 3(101)

29-36

PL

Na polskim rynku dostępnych jest około 57 otwartych funduszy inwestycyjnych akcji polskich typu uniwersalnego. Wybór spośród nich funduszy do portfela inwestycyjnego nie jest łatwy, zwłaszcza, że ich strategie inwestycyjne często nie różnią się znacząco od siebie. Z tego też powodu inwestorzy stosują różne strategie inwestycyjne. Jedną z nich, która często sprawdza się w indywidualnym inwestowaniu na rynku akcji, jest strategia wykorzystująca zjawisko określane mianem „regresji cen akcji do średniej” (De Bondt, Thaler, 1985; Kowalke, 2014, s. 177). W niniejszym artykule zostanie przeanalizowane, czy strategia ta sprawdza się również na polskim rynku akcyjnych funduszy inwestycyjnych o charakterze uniwersalnym. Zakres czasowy badania stanowić będą lata 2001-2016.

EN

There are approximately 57 open-end universal Polish equity investment funds on the Polish market. Choosing funds for an investment portfolio is not easy, particularly because their investment strategies often do not differ significantly from each other. For this reason, investors execute different investment strategies. One of them, frequently used in the case of individual equity market investments, is a strategy utilising the phenomenon of “stock price regression toward the mean”. This article will present an analysis of whether this strategy also works in the case of universal Polish equity investment funds market.

9

Instrumenty finansowe i strategie inwestycyjne oparte na zmienności – autorskie strategie i produkty finansowe neutralne rynkowo

51%

Sroka I., Seliga K.

Studia i Materiały

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2021

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issue 1(34)

175-195

EN

The paper presents a comprehensive introduction to volatility trading, from explaining the definition of volatility, through simple strategies for getting exposure to volatility, to advanced ETN products constructed from derivatives on the VIX index. The theoretical part discusses the idea of volatility trading derived from the assumptions of the Black-Scholes option valuation model. The remainder of this paper presents derivatives that provide exposure to volatility along with the opportunities and pitfalls faced by investors in this market. The practical part presents the proprietary approach to creating investment strategies based on the anomalies of implied volatility of the S & P500 and model portfolios built of products from the Volatility ETP segment and the ETF for the S & P500 index, dedicated to cautious investors, which can be an alternative to mixed equity and

PL

Autorzy przedstawiają kompleksowe wprowadzenie w zagadnienie handlu zmiennością, wychodząc od wyjaśnienia definicji zmienności, przez proste strategie uzyskiwania ekspozycji na zmienność, po zaawansowane produkty ETN skonstruowane z instrumentów pochodnych na indeks VIX. W części teoretycznej omówiono ideę handlu zmiennością, wywodzącą się z założeń modelu na wycenę opcji Blacka-Scholesa. W dalszej części przedstawiono instrumenty pochodne, dające ekspozycję na zmienność wraz z okazjami oraz pułapkami, które stają przed inwestorami biorącymi udział w tym rynku. W części praktycznej zaprezentowano autorskie podejście do tworzenia strategii inwestycyjnych, oparte na anomaliach zmienności implikowanej S&P500 oraz modelowych portfelach zbudowanych z produktów z segmentu Volatility ETP oraz ETFu na indeks S&P500, przeznaczonych dla przezornych inwestorów, które mogą stanowić alternatywę dla mieszanych portfeli akcyjnoobligacyjnych.

10

Perception of the Effectiveness of Stock Market Recommendations in Relation to Their Real Marketability

45%

Keller J. M.

Acta Universitatis Lodziensis. Folia Oeconomica

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2019

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vol. 1

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issue 340

149-161

PL

Celem niniejszego artykułu jest ocena skuteczności rekomendacji giełdowych jako czynnika wspomagającego podejmowanie decyzji inwestycyjnych – zarówno w ujęciu obiektywnym, jak i subiektywnym. Użyteczność obiektywna stosowania rekomendacji jest obrazowana przez wskazanie ich realnego wpływu na osiąganie ponadprzeciętnej stopy zwrotu. Użyteczność subiektywna odnosi się natomiast do postrzegania rekomendacji bezpośrednio przez ich odbiorców, m.in. inwestorów indywidualnych. W tym celu wykonano badanie ankietowe na grupie 564 respondentów, których struktura jest reprezentatywna dla inwestorów giełdowych w Polsce. Wyniki badania ankietowego zweryfikowano przez przeprowadzenie analiz statystycznych (modele logitowe) na przykładzie wybranych domów maklerskich, wskazanych przez inwestorów jako najbardziej i najmniej skuteczne w predykcji. Wykonane analizy wskazują na niejednoznaczne postrzeganie rekomendacji giełdowych przez inwestorów. Ich zdaniem użyteczność rekomendacji giełdowych wystawianych przez poszczególne domy maklerskie jest niejednolita, co skutkuje różnymi możliwościami generowania dochodów przy wykorzystaniu tych raportów. Zestawienie odpowiedzi respondentów z obiektywnymi wynikami modeli inwestycyjnych wykorzystujących informacje pochodzące z rekomendacji giełdowych również wskazuje, że indywidualne postrzeganie rekomendacji przez inwestorów niekoniecznie przekłada się na ich faktyczną użyteczność.

EN

The purpose of this paper is to evaluate the effectiveness of stock market recommendations as a factor supporting investment decisions, both in objective and subjective terms. The applicative objectivity of using recommendations is visualized by indicating their real impact on achieving an above‑average return. Subjective utility refers to the perception of recommendations directly by their recipients, including individual investors. For this purpose, a survey was conducted on a group of 564 respondents whose structure is representative of stock market investors in Poland and the results of the survey were verified by conducting statistical analyses (logit models) on the example of selected brokerage houses indicated by investors as the most and least effective in the prediction. The analyses conducted show an ambiguous perception of stock market recommendations by investors. According to investors, the usefulness of stock recommendations issued by individual brokerage houses varies, resulting in different possibilities of generating income using these reports. The responses of respondents to the objective results of investment models using information from stock market recommendations also indicate that individual perceptions of investors’ recommendations do not necessarily translate into their actual usefulness.

Refine search results

“SECURITY THROUGH DIVERSITY”: PORTFOLIO DIVERSIFICATION OF PRIVATE PENSION FUNDS

Cross Market Dependencies. The Analysys of Selected Investment Strategies

Opportunities and threats associated with an investment in shares of innovative companies - evidence from Polish capital market

Design and evaluation of trading strategy in a-trader system

The effectiveness of capital management strategies used by the investment funds in Poland

The Effectiveness of the Transaction Systems on the Dax Index

The Effectiveness of the Transaction Systems on the Dax Index

Analiza zjawiska „regresji cen do średniej” na polskim rynku akcyjnych funduszy inwestycyjnych w latach 2001-2016

Instrumenty finansowe i strategie inwestycyjne oparte na zmienności – autorskie strategie i produkty finansowe neutralne rynkowo

Perception of the Effectiveness of Stock Market Recommendations in Relation to Their Real Marketability