scholarly journals Quasi-hedge funds market in Poland in view of their performance persistence

2021 ◽  
Vol 18 (3) ◽  
pp. 82-93
Author(s):  
Waldemar Aspadarec
Keyword(s):  
Capital Market ◽  
Hedge Funds ◽  
Performance Index ◽  
Performance Persistence ◽  
Investment Strategies ◽  
Short Term ◽  
Investment Funds ◽  
Return Rates ◽  
Allocation Decisions

Performance persistence analysis is important as it has a decisive influence on investor allocation decisions. Investors can use quasi-hedge funds’ persistence to build effective investment strategies. Thus, the paper explores performance persistence of quasi-hedge funds operating at the Polish capital market. The methodology is based on constructing the new market performance index intended only for absolute return funds. It is validated regarding absolute returns of Polish quasi-hedge funds. The Absolute Return Index (ARI) is used to rate quasi-hedge funds’ performance persistence in assessing their fundamental purpose: to deliver consistently positive returns in all market conditions. For this, their quarterly return rates are used. All 53 funds operating for at least 36 months and representing 48.2% of the entire segment of absolute return funds are analyzed. The use of ARI allows examining quasi-hedge funds’ performance persistence in terms of market changes and the assessment of their purpose. In the short term (6 months) profitability remained persistent, while in the long term (12 months) such a hypothesis could be refuted. More than 40% of funds showed positive persistence within six months; only positive persistence occurred in the short term. 9.4% of funds repeatedly obtained negative returns, so absolute return funds’ negative performance persisted neither in the short nor long term. Closed-ended investment funds showed much stronger persistence of above-average positive returns, which additionally tended to avoid repeating negative returns in two-quarter and four-quarter series. This confirms the assumption that in this respect the Polish market is similar to the developed ones.

Institutional Investors on the Securities Market

2003 ◽  
pp. 95-101
Author(s):  
O. Khmyz
Keyword(s):  
Financial Crisis ◽  
Capital Market ◽  
Hedge Funds ◽  
Institutional Investors ◽  
Securities Market ◽  
Main Role ◽  
Investment Funds ◽  
Investment Process ◽  
The Capital Market

Acording to the author's opinion, institutional investors (from many participants of the capital market) play the main role, especially investment funds. They supply to small-sized investors special investment services, which allow them to participate in the investment process. However excessive institutialization and increasing number of hedge-funds may lead to financial crisis.

“Una fiera senza luogo”: Was Bisenzone an International Capital Market in Sixteenth-Century Italy?

2008 ◽  
Vol 68 (4) ◽  
pp. 1098-1122 ◽  
Author(s):  
LUCIANO PEZZOLO ◽  
GIUSEPPE TATTARA
Keyword(s):  
Seventeenth Century ◽  
Sixteenth Century ◽  
Financial Markets ◽  
Capital Market ◽  
International Capital ◽  
Short Term ◽  
Financial Network ◽  
International Capital Market ◽  
International Scale

From the mid-sixteenth to the early seventeenth century, Genoese bankers collected money from a variety of sources and lent it to the king of Spain. It was all made possible by the Bisenzone exchange fairs, which created an efficient financial network under Genoese control and permitted arbitrage among northern Italian financial markets. At Bisenzone, Genoese bankers raised money for these loans from a variety of sources, which reduced the risks of lending and funded the king's long-term obligations via short term loans. Bisenzone was in many ways an offshore capital market which operated on an international scale, or, in the language of the sixteenth century, a fair without a place—una fiera senza luogo.

scholarly journals Risk-Adjusted Impact of Administrative Costs on the Distribution of Terminal Wealth for Long-Term Investment

2014 ◽  
Vol 2014 ◽  
pp. 1-12 ◽  
Author(s):  
Montserrat Guillén ◽  
Søren Fiig Jarner ◽  
Jens Perch Nielsen ◽  
Ana M. Pérez-Marín
Keyword(s):  
Mutual Funds ◽  
Risk Adjustment ◽  
Hedge Funds ◽  
Time Horizon ◽  
Simple Formula ◽  
Investment Funds ◽  
Terminal Wealth ◽  
Administrative Costs ◽  
The Impact

The impact of administrative costs on the distribution of terminal wealth is approximated using a simple formula applicable to many investment situations. We show that the reduction in median returns attributable to administrative fees is usually at least twice the amount of the administrative costs charged for most investment funds, when considering a risk-adjustment correction over a reasonably long-term time horizon. The example we present covers a number of standard cases and can be applied to passive investments, mutual funds, and hedge funds. Our results show investors the potential losses they face in performance due to administrative costs.

scholarly journals Time Horizon, Costs of Equity Capital, and Generic Investment Strategies of Firms

2007 ◽  
Vol 20 (1) ◽  
pp. 1-15 ◽  
Author(s):  
Thomas Zellweger
Keyword(s):  
Default Risk ◽  
Time Horizon ◽  
Family Firms ◽  
Economic Value ◽  
Equity Capital ◽  
Investment Strategies ◽  
Cost Of Equity Capital ◽  
Short Term ◽  
Investment Projects

Recent literature (McNulty, Yeh, Schulze, & Lubatkin, 2002) states that the assumptions behind the capital asset pricing model, in particular the irrelevance of time horizon, do not correspond to the characteristics of firms that prefer long-term investment horizons. I show that family firms display a longer time horizon than most of their nonfamily counterparts, since (1) family firms display a longer CEO tenure, (2) this type of firm strives for long-term independence and succession within the family, and (3) due to the fact that family firms are overrepresented on western European stock markets in cyclical industries in which business cycles inhibit short-term success. As the annual default risk of an investment diminishes with increasing holding period (Hull, 2003), the risk-equivalent cost of equity capital of firms with longer planning horizons (e.g., family firms) can be lower as well. Based on the assumption that economic value to shareholders is created when firms invest in projects with returns above the associated cost of capital (Copeland, Koller, & Murrin, 2000), I argue that long-term-oriented firms can tackle unique investment projects represented by two generic investment strategies—the perseverance and the outpacing strategy. The first one, the perseverance strategy, represents investment strategies in which long-term-oriented firms invest in lower return but equal risk projects than their more short-term-oriented counterparts. The second one, the outpacing strategy, comprises investment projects with higher risk and equal return than the short-term competitors.

scholarly journals THE ISLAMIC CAPITAL MARKET VOLATILITY: A COMPARATIVE STUDY BETWEEN IN INDONESIA AND MALAYSIA

2013 ◽  
Vol 15 (4) ◽  
pp. 391-415
Author(s):  
Muhammad Syafii Antonio ◽  
Hafidhoh Hafidhoh ◽  
Hilman Fauzi
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Crude Oil ◽  
Capital Market ◽  
Oil Price ◽  
Crude Oil Price ◽  
Short Term ◽  
Macroeconomic Variables ◽  
Jones Index

This study attempts to examine the short-term and long-term relationship among selected global anddomestic macroeconomic variables fromeach country (Fed rate, crude oil price, Dow Jones Index, interest rate, exchange rate and inflation) for Indonesia and Malaysia Islamic capital market (Jakarta Islamic Index (JII) and FTSE Bursa Malaysia Hijrah Shariah Index (FHSI). The methodology used in this study is vector error correction model (VECM) for the monthly data starting from January 2006 to December 2010. The result shows that in the long-term, all selectedmacroeconomic variables except Dow Jones Index variable have significantly affect in both Islamic stock market FHSI and JII, while in the short-term there is no any selected macroeconomic variables that significantly affect FHSI and only inflation, exchange rate and crude oil price variables seem to significantly affect JII. Keywords : Islamic Stock Market, Jakarta Islamic Index, FTSE Hijrah Shariah Index, VAR/VECMJEL Classification: E52, E44

scholarly journals Differences in Investment Concepts between Chinese and Western Investors from the Cultural Perspective

2021 ◽  
Vol 2 (6) ◽  
Author(s):  
Zhiming Gong
Keyword(s):  
Cultural Differences ◽  
Capital Market ◽  
Public Information ◽  
Cultural Perspective ◽  
Short Term ◽  
The West ◽  
Independent Decision ◽  
Investment Portfolios ◽  
The Capital Market

The investment concept, reflecting the investor's investment purpose and willingness, is a value that embodies the investor's investment personality characteristics, prompts investors to carry out investment analysis, judgment, decision-making, and guides investor behaviors. Due to different maturity of the capital market in China and Western countries, there are many differences in the regulatory level, cultural and behavioral patterns of the supervision and management departments of the capital market between Chinese and Western investment philosophy. This article analyzes the differences in investment ideas between Chinese and Western investors from the culture perspective. This thesis studies on the basis of four cultural differences: "The Golden Mean" and "Interest Maximization"; the face-culture and individualism; rule of man and rule of law; and gambler psychology and adventure spirit. Based on these four aspects of cultural differences, four different investment concepts of Chinese and Western investors are analyzed: long-term investments and short-term speculation; "Herd Effect" and independent decision; grapevines and public information; and leveraged trading and allocation of funds. This thesis adopts several cases to analyze the differences between Chinese and Western investors in financial products such as stocks, gold, and futures, and in investment behavior such as the long-term investment, short-term speculation, leveraged trading, and investment portfolios. With cultural differences between China and the West probed into, the differences between Chinese and Western investors' investment concepts are justified. It is hoped that this effort will help investors deepen the understanding of the capital markets in China and the West, enable Chinese investors to learn the Western mature investment concepts, and facilitate the regulators to manage the capital market effectively.

scholarly journals Test for cointegration and causality between ISE and emerging market ındices; diversification opportunities for ınvestorsBİST ile yükselen piyasalara ait endeksler arasındaki eş bütünleşme ve nedenselliğin test edilmesi; yatırımcılar açısından çeşitlendirme fırsatları

2017 ◽  
Vol 14 (4) ◽  
pp. 3486
Author(s):  
Umut Burak Geyikçi
Keyword(s):  
Emerging Markets ◽  
Capital Market ◽  
Emerging Market ◽  
Structural Break ◽  
Unit Root Tests ◽  
Cusum Test ◽  
Short Term ◽  
Causality Test ◽  
Johansen Cointegration Test

It was aimed to show the diversification possibilities that investors can catch in terms of emerging markets in the study. Within the scope of the study, the emerging markets of Turkey, Europe, Asia and America were compared. A total of 12 markets, 4 from Europe, 1 from the Americas and 7 from Asia were selected. Monthly closing values for the capital market were used for 16 years period (176 observations) for July 2002 - June 2017. The series were tested with the ADF, PP and Zivot andrews unit root tests, then Johansen Cointegration test and Wector Erroro Correction/Granger Causality test were used after it was found that there was no structural break with the Cusum test. As a result of the research, all the markets are found cointegrated in the long term. In a short term it is found that Turkey has mutual causality with Thailand, Russia, Poland, Brazil and also Taiwan, Malaysia and Czechia have one-way causality with Turkey. As a result, it can be said that there is no short-term causality relation with some emerging markets with the ISE and that it is possible to diversify in the short term in terms of investors.Extended English abstract is in the end of PDF (TURKISH) file. ÖzetBu çalışma ile yatırımcıların yükselen piyasalar açısından yakalayabilecekleri çeşitlendirme imkanları ortaya konmaya çalışılmıştır. Çalışma kapsamında Türkiye ile Avrupa, Asya ve Amerika kıtasında yer alan yükselen piyasalar karşılaştırılmıştır. Bu amaçla 4’ü Avrupadan, 1’i Amerikadan, 7’si de Asyadan olmak üzere toplamda 12 piyasa seçilmiştir. Temmuz 2002 – Haziran 2017 dönemine ait 16 yıllık periyotta (176 gözlem) sermaye piyasasına ait aylık kapanış değerleri kullanılmıştır. Gerçekleştirilen çalışmada önce ADF, PP ve Zivot-Andrews birim kök testleri ile seriler test edilmiş, sonrasında Cusum testi ile yapısal kırılma olmadığı anlaşıldıktan sonra, Johansen Eşbütünleşme testi ve ardından da Vektör Hata Düzeltme/Granger Nedensellik Testi kullanılmıştır. Araştırma neticesinde incelenen tüm piyasaların uzun dönemde eşbütünleşik oldukları, kısa dönemde ise Türkiye’nin Taylan, Rusya, Polonya ve Brezilya ile karşılıklı, Tayvan, Malezya ve Çekya’nın ise Türkiye ile tek yönlü bir nedensellik ilişkisinde olduğu tespit edilmiştir. Bu çerçevede, BİST’in inceleme kapsamındaki bazı yükselen piyasalarla kısa dönemde nedensellik ilişkisi bulunmadığı ve yatırımcılar açısından kısa vadede hali hazırda bir çeşitlendirme imkanı sunduğu söylenebilmektedir.  

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