The factors explaining risks of domestic absolute return funds
Journal Title: Zarządzanie i Finanse - Year 2013, Vol 11, Issue 2
Abstract
The purpose of this article is to identify factors that influence the returns of the absolute return funds, and thus determine which ones affect the risk of these funds. The author tries to answer the question whether the absolute return funds related risk factors influences are similar to those that affect the hedge funds, what would suggest they use similar strategies and have similar risk exposure. The research was done through the use of econometric model based on ordinary least squares linear regression by analyzing daily returns of units of surveyed funds, different financial asset classes and other factors that may have an impact on them, previously used for the hedge fund world. The occurrence of non-linear returns has been stated, suggesting that to study if they meet the absolute rate of return, one should reach to the most advanced models that consider nonlinearity. Dependence of funds on their potential benchmarks has also been observed, suggesting that they do not reach absolute returns. Market liquidity has been also found as an significant risk factor. Other factors were basically irrelevant or having little effect on analyzed returns. The analyzed data suggests some similarities between polish absolute return fund and the hedge funds.
Authors and Affiliations
Piotr Jaworski
Keywords
Related Articles
- EP ID EP147207
- DOI -
- Views 68
- Downloads 0
Interpretation of selected notions concerning quality management in public academic institutions
The article presents selected notions concerning quality management in reference to academic institutions and in view of the research conducted in those public academic institutions, which acquired quality management s...
The influence of longevity risk on the sustainability of pension systems
Year by year people are living longer and longer. Not only the life expectancy at birth increases, but also, and for the developed countries in particular, life span 65 plus. Longevity risk, and its unpredictabilit...
Controversy over Directive regulating remuneration managers in the banking sector
Adjusting the managers salary raises a lot of controversy. The EU Directive of 2010, which regulates the remuneration managers in banks has left national regulators a number of possibilities - restrictive or less -...
Assessment of the effectiveness of public hospital management
The main aim of the article is to present the crucial issues of assessing the effectiveness of hospital management. The paper presents a definition of effi-ciency, indicates the key measures of its assessment with partic...
Postrzeganie jakości produktów mleczarskich przez konsumentów
W artykule zaprezentowano przykłady czynników warunkujących zachowania konsumentów na rynku produktów mleczarskich zidentyfikowane dotychczas w niektórych badaniach polskich konsumentów. Scharakteryzowa-no dwa podstawowe...