Hodnocení vlivu nákladů kurzového zajištění na výkonnost fondu kolektivního investování (případová studie)
ČlánekOtevřený přístuppeer-reviewedpublishedDatum 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)
ISSN 1804-8048 (Online)
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Zdrojový dokument
Scientific papers of the University of Pardubice. Series D, Faculty of Economics and Administration. 39/2017
Vydavatelská verze
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open access
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Klíčová slova
collective investment, currency, hedging, investment companies, mutual funds, performance, risk