Testiranje "hedging" strategija dioničkog portfelja za vrijeme pandemije

master's thesis

• Title (english): Testing hedging strategies on equity portfolio during the pandemic
• Author: Matej Metelko
• Mentor: Davor Zoričić (mentor)
• Committee member: Denis Dolinar (predsjednik povjerenstva)
• Committee member: Ena Pecina (član povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; (Department of Managerial Economics); Zagreb
• Defense date and country: 2021-05-26, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics; Economics of Entrepreneurship

Abstract

Rad prikazuje analizu i usporedbu kretanja vrijednosti portfelja vođenih odabranim hedging strategijama tijekom 2020. godine. Prije praćenja samih kretanja, određeni su optimalni udjeli dionica FAANG korporacija u hipotetskom dioničkom portfelju te je izračunat hedging omjer na temelju kojeg je hipotetski investitor zauzeo kratku, odnosno dugu poziciju u ročnicama na S&P 500 te VIX indeks koje koristi kao instrument hedginga. Analiza je pokazala da je tijekom pandemije, uz zadana ograničenja, najbolje vrijednost dioničkog portfelja zaštitila strategija zaštite vrijednosti kupnjom ročnica na indeks „straha“ – VIX te uz to ostvarila najbolji prinos, gledajući apsolutno i relativno.

Abstract (english)

The paper presents analysis and comparison of portfolios that were managed using selected hedging strategies during 2020. Before analyzing portfolios, the hypothetical investor determined optimal shares of FAANG stocks in his portfolio and calculated hedging ratio, based on which he took a short or long position in the S&P 500 and the VIX index futures, futures that were used in this paper as a hedging instrument. The analysis showed that during the first year of the pandemic, with given constraints, the best hedging strategy was taking a long position in VIX index. Also, the same strategy had the best performance during 2020, both in absolute and relative terms.

• Keywords: ročnice; hedging omjer; optimalan portfelj; rizik; hedging
• Keywords (english): futures; hedging ratio; optimal portfolio; risk; hedging
• Language: croatian
• URN:NBN: urn:nbn:hr:148:767832
• 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: 2022-06-02
• Created on: 2021-06-01 18:35:57