Digitální knihovnaUPCE
 

Hodnocení vlivu nákladů kurzového zajištění na výkonnost fondu kolektivního investování (případová studie)

Článekpeer-reviewedpublished
Náhled

Datum publikování

2017

Vedoucí práce

Oponent

Název časopisu

Název svazku

Vydavatel

Univerzita Pardubice

Abstrakt

The aim of this paper is to evaluate whether the exchange rate hedging costs at collective investment companies affects the performance of these entities. The evaluation is based on a correlation in time series. Exchange rate risk is related to the position of CZK as the reference currency of the target group (households and institutions), to which investment companies sell their securities. The theoretical part of this paper is based on professional studies in the area of performance measurement and risk elimination in collective investment funds. Data were collected on the development of monthly costs to secure exchange risks and on the performance of mutual funds between April 2012 and April 2015. Correlation in time series was used to assess the relationship between the performance of mutual funds and the cost of exchange rate risk hedging. The statistical methods did not prove dependence between exchange rate hedging costs and the monthly performance of selected mutual funds. Correlation coefficients are low and insignificant, so specific information about the costs of the interest rate risk hedging is currently not necessary. This issue has not been researched adequately so far, thus the results may serve as a base for further scientific research.

Rozsah stran

p. 129-139

ISSN

ISSN 1211-555X (Print)
ISSN 1804-8048 (Online)

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Projekt

Zdrojový dokument

Scientific papers of the University of Pardubice. Series D, Faculty of Economics and Administration. 39/2017

Vydavatelská verze

Přístup k e-verzi

open access

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ISBN

Studijní obor

Studijní program

Signatura tištěné verze

Umístění tištěné verze

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Klíčová slova

collective investment, currency, hedging, investment companies, mutual funds, performance, risk

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