ROBE I ROBNI TERMINSKI UGOVORI KAO DIVERZIFIKATORI INVESTICIJSKOG PORTFELJA

master's thesis

• Title (english): COMMODITIES AND COMMODITY FUTURES AS DIVERSIFIERS OF THE INVESTMENT PORTFOLIO
• Author: Ivana Džalto
• Mentor: Ivana Štulec (mentor)
• Committee member: Ivana Štulec (predsjednik povjerenstva)
• Committee member: Tomislav Baković (član povjerenstva)
• Committee member: Mate Damić (član povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; (Department of Trade and International Business); Zagreb
• Defense date and country: 2022-09-27, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics; Trade and Tourism

Abstract

Rad Robe i robni terminski ugovori kao diverzifikatori investicijskog portfelja kroz sustavni pregled literature analizira ulogu roba i robnih terminskih ugovora kao alternativnog oblika ulaganja u službi sredstva zaštite i diverzifikacije portfelja.
Odmičući se od tradicionalnih oblika ulaganja kao što su dionice i obveznice u radu se analiziraju učinci ulaganja u robe i robne terminske ugovore kao diverzifikatore portfelja investitora odnosno kao sredstva zaštite od promjene cijena, inflacije i negativnih učinaka poslovnog ciklusa odnosno kako bi investitori zaradili dodatne povrate. Postoje različiti dokazi o njihovim stvarnim prednostima kao alternativnom obliku ulaganja stoga se teorijski prikaz temelji se na sekundarnim podacima prikupljenim iz brojnih stručnih i znanstvenih izvora. Empirijska analiza temelji se na povijesnim podacima o kretanju cijena odabranih tradicionalnih oblika ulaganja te usporedbi prinosa i rizika portfelja sa i bez robnih terminskih ugovora. Cilj empirijske analize je dati odgovor na pitanje na koji način i u kojoj mjeri uključivanje roba i robnih terminskih ugovora u tradicionalni investicijski portfelj pridonosi povećanju povrata i smanjenju rizika portfelja. U analizi će se usporediti portfelj A, koji se sastoji od dionica i indeksa, s portfeljem B, koji uz tradicionalne oblike ulaganja iz portfelja A sadrži i ulaganja u robe te portfelj C koji sadrži ulaganje u robne terminske ugovore kao i robne indekse pomoću računanja aritmetičke sredine porasta cijena radi usporedbe prinosa i računanja standardne devijacije radi usporedbe rizika. Aktualnost teme ogleda se u važnost diverzifikacije portfelja u vrijeme globalne pandemije COVID-19, visoke razine inflacije kao i rata u Ukrajini. Navedene okolnosti povećavaju volatilnost cijena na tržištima diljem svijeta te povećavaju nesigurnost zbog čega važnost diverzifikacije portfelja investitora dolazi do još većeg izražaja. Uz navedeno analizira se i povezanost između kretanja cijena robnih terminskih ugovora i tradicionalnih oblika ulaganja kao i ulaganje u robno terminske ugovore na dugi rok.
Očekivani doprinos rada očituje se u boljem razumijevanju roba i robnih terminskih ugovora kao i boljem razumijevanju mogućnosti koje ono nudi investitorima kao sredstvo zaštite investicijskog portfelja u nepredvidivim okolnostima.

Abstract (english)

The paper Commodities and commodity futures as diversifiers of the investment portfolio through a systematic review of the literature analyses the role of commodities and commodity futures as an alternative form of investment in the service of means of protection and portfolio diversification.
Moving away from traditional forms of investment such as shares and bonds, the paper analyzes the effects of investing in commodities and commodity futures as diversifiers of investors' portfolios, i.e. as means of protection against price changes, inflation and negative effects of the business cycle, i.e. so that investors can earn additional returns. There is different evidence of their real advantages as an alternative form of investment, therefore the theoretical presentation is based on secondary data collected from numerous professional and scientific sources. The empirical analysis is based on historical data on price movements of selected traditional forms of investment and a comparison of portfolio returns and risks with and without commodity futures contracts. The aim of the empirical analysis is to answer the question of how and to what extent the inclusion of commodities and commodity futures in a traditional investment portfolio contributes to increasing returns and reducing portfolio risk. The analysis will compare portfolio A, which consists of stocks and indices, with portfolio B, which, in addition to traditional forms of investment from portfolio A, also contains investments in commodities, and portfolio C, which contains investments in commodity futures contracts as well as commodity indices by calculating arithmetic the middle of the price increase to compare returns and to calculate the standard deviation to compare risk. The topicality of the topic is reflected in the importance of portfolio diversification at the time of the global COVID-19 pandemic, high levels of inflation and the war in Ukraine. The aforementioned circumstances increase the volatility of prices on markets around the world and increase uncertainty, which is why the importance of diversifying an investor's portfolio becomes even more pronounced. In addition to the above, the connection between commodity futures price movements and traditional forms of investment is also analyzed, as well as long-term investment in commodity futures contracts.
The expected contribution of the work is manifested in a better understanding of commodities and commodity futures contracts, as well as a better understanding of the possibilities it offers to investors as a means of protecting the investment portfolio in unpredictable circumstances.

• Keywords: robni terminski ugovori; diverzifikacija; investicijski portfelj; izvedenice; alternativni oblik ulaganja; sredstvo zaštite; prinos; rizik; COVID-19; inflacija
• Keywords (english): commodity futures; diversification; investment portfolio; derivatives; alternative form of investment; means of protection; yield; risk; COVID-19; inflation
• Language: croatian
• URN:NBN: urn:nbn:hr:148:358595
• Study programme: Title: Business Economics; Study programme type: university; Study level: integrated undergraduate and graduate; Academic / professional title: magistar/magistra ekonomije (magistar/magistra ekonomije)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Embargoed access; Embargo expiration date: 2024-10-04
• Created on: 2022-09-30 19:11:23