Alternative Investments

Examining the trend of the global economy shows that global trade is moving towards high-tech products. Given that these products generate very high added value, countries that can produce and export these products will have high growth in the industrial sector. The importance of investing in advanced technologies for economic and social growth and development is so great that it is mentioned as one of the strong levers to achieve development. It should be noted that the policy of developing advanced technologies requires consideration of various performance aspects, risks and future risks in the investment phase. Risk related to high-tech investment projects has a meaning other than financial concepts only. In recent years, researchers have focused on identifying, analyzing, and prioritizing risk. There are two important components in measuring investment risk in high-tech industries, which include identifying the characteristics and criteria for measuring system risk and how to me...

This study has 4 contributions to the literature. First, the authors analyze the risk characteristics for 11 Relative Value hedge fund strategies. Second, the authors introduce 3 families of behavioral factors, the D family, the L family, and the R family. In contrast to previous hedge fund studies, these new factors assume investors use historical and behavioral data such as average drawdown, run-up, and liquidity from each hedge fund category to assess the risk. Third, additional macroeconomic variables, such as the CRB, Copper, and Oil are found to be statistically significant in some strategies. This economic and historical information, when included with asset pricing models, is more powerful in explaining hedge fund returns than previous models. Fourth, unlike the previous literature, these generated models are corrected for time-series assumption violations and heteroskedasticity. To more fully understand the timing of risks and returns associated with investing in relative v...

The study reveals that the COVID-19 crisis has had a strong but one-off negative impact on the hedge fund industry. It also shows that during the new coronavirus pandemic, the main components of the hedge fund industry achieved only partially their main investment goal, i.e. they as a whole provided a hedge of the investment risk but did not produce higher than the market return in the conditions of a growing capital market. In this situation, due to the relatively stable М&A market, the Event-Driven Risk Arbitrage strategy was undoubtedly most successful, followed by the Emerging Markets, the Global Macro and the Long/Short Equity strategies. The worst performance was reported for the Fixed Income Arbitrage strategy due to the currently overvalued bond markets and to the expectations for higher inflation rates in the countries with developed capital markets.

Options traders and investors utilize methods to price and select call and put options. The models and tools range from Black-Scholes, binomial & trinomial models, Adaptive Mesh model, and the “Greeks” also known as Delta, Gamma, Vega, Theta and Rho. These methods all provide measurements of risk, time and price sensitivities. Missing from practitioner and academic literature is premium cost versus time. This paper explores a simple method of choosing a call or put option based upon its cost per unit of time to assist in selecting options with similar strike prices and different time intervals of an options

This paper examines the performance of cryptocurrencies issued in initial coin offerings (ICOs) over a three-year period after the initial exchange listing. Average (median) ICO underpricing amounts to 15% (3%), even though 4 out of 10 ICOs destroy value on the first trading day. Liquidity, market capitalization, and high-low price ratios predict returns. Long-run buy-and-hold returns are positive for the mean and negative for the median. For holding periods between one and twenty-four months, the median ICO depreciates by 30%. Evidently, there is substantial positive skewness in the cryptocurrency market. Further, a size effect emerges from the data as an empirical regularity: Large ICOs are more often overpriced and underperform in the long run. JEL classification: G24, G32, K22, L26.

The financial inclusion is a crucial element in the fight against poverty. The ability to take effective decisions regarding the use and management of money with required informed judgments is financial literacy. It enables a person to understand the importance of savings and thus regarded as an important requirement for functioning effectively in modern society. Large sections of the rural population borrow from moneylenders (their sole resource) at a very high and unreasonable cost causing slavery and have no access to any financial services. The article highlights that considering the immensely large population of the country, the progress on financial inclusion is not enough and financial institutions and banks need to manage their efforts towards financial inclusion since the development of the economy is impacted and linked with the extent of financial inclusion in the country. Access to finance by the underprivileged group, poor, and disadvantaged is essential to remove poverty on one hand and the economic growth on the other.

A special purpose acquisition company (SPAC) is a company with no commercial operations that is formed strictly to raise capital through an initial public offering (IPO) for the purpose of acquiring an existing company. Also known as "blank check companies," SPACs have been around for decades. In recent years, they've become more popular, attracting big-name underwriters and investors and raising a record amount of IPO money in 2019. In 2020, as of the beginning of August, more than 50 SPACs have been formed in the U.S. which have raised some $21.5 billion (Investopedia).

This paper examines the performance of cryptocurrencies issued in initial coin offerings (ICOs) over a three-year period after the initial exchange listing. Average (median) ICO underpricing amounts to 15% (3%), even though 4 out of 10 ICOs destroy value on the first trading day. Liquidity, market capitalization, and high-low price ratios predict returns. Long-run buy-and-hold returns are positive for the mean and negative for the median. For holding periods between one and twenty-four months, the median ICO depreciates by 30%. Evidently, there is substantial positive skewness in the cryptocurrency market. Further, a size effect emerges from the data as an empirical regularity: Large ICOs are more often overpriced and underperform in the long run. JEL classification: G24, G32, K22, L26.

The paper discusses global macro as a strategy which went out of favour after the LTCM debacle. It uses four case studies and despite the draw backs - a small number of experienced managers - concludes that the strategy can offer diversification and hedging in a portfolio.

Recent studies have estimated a total net worth of nearly $2 trillion flowing through the Islamic financial system. With growing rates from 13 to 19%, making it the fastest growing sector in finance industry, its importance does not seem to be any less major in the forseeable future.

In a global economy where this enthousiasm for Islamic Finance is rapidly expanding, it is worth the effort considering the mertis and – no less important – the demertis of the alternative economic paradigm of Islamic economics.

The breakthrough of Islamic finance in the late 20th century was no coincidence. Islamic finance has yet been praised for its ethical nature, which not only contributes to social justice but also grants the banking industry a better image. Above all, Islamic finance is believed to be a lower risk financing mechanism than the current conventional.

On the other hand, the substance of Islamic finance has been criticised for being rather inefficient and inequitable, having no real added value in terms of economic development or consumer welfare.

This paper has the object to (1) identify both the merits and demerits of Islamic finance, (2) to inquire whether these merits outweigh the demerits, (3) to determine whether there even is a justification altogether in comparing conventional financing with Islamic finance and (4) to assess its place in both the modern day Western– and Global economy.

This thesis explores the niche market of gold and silver commemorative coins in Poland, an area seldom covered in English language publications. It delves into the realm of alternative investments, emphasizing the risk diversification potential and high returns associated with such assets. The study is structured into three main sections:

1. Investment Theory: This section provides a comprehensive overview of investment concepts, distinguishing between traditional investments like stocks and bonds, and alternative investments. It elaborates on the characteristics of each type, including risk factors and potential returns​

​2. Numismatics in Practice: The history of money, particularly in Poland, is examined to provide a foundational understanding of numismatics. This section discusses the evolution of currency, the transition from bartering to the use of coins, and the intrinsic historical and cultural value of coins. It also includes practical insights into the storage, preservation, and pricing of coins, underscoring the importance of condition in determining the value of a coin collection​

​3. Analysis of Commemorative Coins: Focusing on Polish gold and silver commemorative coins, this segment analyzes the precious metals market, discussing the supply, demand, and investment potential of gold and silver. It also presents a detailed description of the coins, including their technical specifications, series, and unique characteristics. The study employs various scientific methods, including least squares regression for coin pricing, to provide a comprehensive market analysis and pricing model for these commemorative coins​

This thesis offers a unique insight into the world of numismatics, providing valuable information for collectors, investors, and enthusiasts interested in Polish commemorative coins. It bridges a significant gap in English-language literature on this topic, contributing to both the academic and practical understanding of alternative investments in numismatics.

This chapter encapsulates the most recent findings on sovereign wealth fund (SWF) investment activity globally. The key research proposals addressed herein relate to the position of global SWFs among conventional and alternative asset managers, SWF allocation strategies, their recent investment behavior and its likely evolution in the foreseeable future.

This study revisited the overreaction hypothesis studied by DeBondt and Thaler (1985) to determine its suitability as a strategy for private investment. Using their same filters from January 1986 through January 2004, prior NYSE losers only outperformed prior NYSE winners by 0.02% over the subsequent three years. The inclusion of AMEX and NASDAQ stocks resulted in a cumulative abnormal return differential of 28.60%; this difference increased to 34.85% when the requirement of preexisting data was reduced from seven years to five years.  Qualitatively similar results were found when the analysis shifted from looking at cumulative abnormal returns to looking at buy-and-hold returns.

While the buy-and-hold return results faced significant exposure to market, size, book-to-market, and momentum-based risk, the explanatory power of models incorporating these factors was relatively low (maximum 13.82%), and there still existed significant risk-adjusted returns as determined by the intercept of the regressions of up to 0.824% per month. Additionally, breaking down the factor analysis to be run on the losers and winners separately showed that both losers and winners experienced reversals in their returns and that these reversals were stronger in the winners than the losers.

An investor looking to exploit these return differences could earn up to 51.44% over a three-year period, 23.22% of which would be considered risk-adjusted return, by using the maximum amount of leverage allowed by Regulation T. If this investor desires to instead invest in a hypothetical hedge fund following this same strategy, he could still earn 32.54% over three years, 11.52% of which would be risk-adjusted, while the hedge fund manager extracts 17.92% of the initial investment over the same three-year period in the form of management and performance fees. While the institutional constraints in place designed to protect investors who engage in the type of short selling required to implement this strategy succeed in reducing the investor‘s general exposure to various risk factors, the legal use of maximum leverage actually eliminates most of the risk-reducing benefits of these constraints without providing compensation in the form of additional returns (either on a raw or risk-adjusted basis).

Even though the initial study was published in 1985, there is little evidence that arbitrageurs have reduced the difference in the returns between prior losers and winners. There also appears to be a pronounced January effect in the returns to investing by this strategy.  Finally, there is no indication of the extent to which this strategy is followed in practice.

We help to explain the rapid growth in aggregate hedge fund assets under management until June 2008 followed by their collapse in terms of the conflicting emotions such investment vehicles evoke. Specifically, we describe how some high-profile hedge funds were transformed in ...

This paper investigates how organizations’ reliance on employees’ prior educational and employment affiliations for both employment relationships and interorganizational relationships contributes to inertia in organizational networks. Analyses of data from U.S. venture capital and private equity firms support the theory I develop. First, increasing differences in educational prestige decrease both interpersonal co-employment rates and interorganizational co-investment rates. Second, two individuals who share a prior educational or a prior employment affiliation are more likely to be employed by the same organization than are two individuals who do not share such an affiliation. Third, the likelihood of two organizations forming a co-investment relationship increases with the number of prior educational or employment affiliations shared by their employees. I propose that these tendencies stabilize advantaged organizations’ positions and limit disadvantaged organizations’ positional mobility, thereby constraining change in interorganizational networks. Implications for studies of network evolution and socioeconomic inequality are discussed.

Exchange-traded Funds (ETFs) have been gaining increasing popularity in the investment community, as evidenced by their high growth both in the number of ETFs created and their net assets since 2000. As ETFs are in nature similar to index mutual funds, in this article we examine whether this growing demand for ETFs can be explained through their outperformance as compared with index mutual funds. We consider the population of all ETFs with inception dates before 2002 and then for each ETF found all the passive index mutual funds that had the same investment style as the selected ETF and had an inception date before 2002. This led to a sample of 230 paired matches for all the styles. Within each investment style we matched every ETF with all the passive index funds in that investment style and compared the performances of the matched pairs in terms of Sharpe Ratios and risk-adjusted buy and hold total returns for the period 2002–2010. We then applied the Wilcoxon signed rank test to ...

Bitcoin has become one of the most popular financial assets in the world because it has an unregulated nature and does not require any central authority. However, there has been an ongoing debate about Bitcoin classification. Whatever classification Bitcoin is subject to, it has become a significant component of investors’ portfolios. Accordingly, the returns of this instrument are an important matter of concern for both practitioners and academicians. In this study, we aim to analyze the effect of other financial assets on Bitcoin returns to figure out whether there is a hedging opportunity or not. In this manner, we used Vector Autoregression (VAR) model to test whether the associated variables; namely, gold, euro, and S&P 500 influence Bitcoin returns. The results of the study revealed that Bitcoin returns had no relationship with other financial assets in the long term. In other words, it was determined that financial assets did not affect Bitcoin prices. It was also found that ...

Global equity portfolio managers employ a variety of approaches to currency hedging either hedging all of their currency risk, hedging only a portion of their currency risk, or simply not hedging at all. This paper considers a hypothetical US-based global portfolio invested in Europe, Asia, Latin America, and the US and looks at how various passive hedging strategies would have

The Capital Asset Pricing Model (henceforth, CAPM) is considered an extensively used technique to approximate asset pricing in the field of finance. The CAPM holds the power to explicate stock movements by means of its sole factor that is beta coefficient. This study focuses on the application of rolling regression and cross-sectional regression techniques on Indian BSE 30 stocks. The study examines the risk-return analysis by using this modern technique. The applicability of these techniques is being viewed in changing business environments. These techniques help to find the effect of selected variables on average stock returns. A rolling regression study rolls the data for changing the windows for every 3-month period for three years. The study modifies the model with and without intercept values. This has been applied to the monthly prices of 30 BSE stocks. The study period is from January 2009 to December 2018. The study revealed that beta is a good predictor for analyzing stock returns, but not the intercept values in the developed model. On the other hand, applying cross-section regression accepts the null hypothesis. α, β, β2 ≠ 0. Therefore, a researcher is faced with the task of finding the limitations of each methodology and bringing the best output in the model.

Virtual currency is a type of unregulated digital currency that is only available in electronic formThe term came into existence
around 2012, when the European Central Bank (ECB) defined virtual currency to classify types of “digital money in an unregulated
environment, issued and controlled by its developers and used as a payment method among members of a specific virtual
community".
The legality of Virtual Currency varies from country to country. Since Virtual Currency has little to no supervision from a third
party jurisdiction such as a Central Bank, which is the case for regular currencies, it has not ruled in favour of many governments
organisations

Abstract The objective of this work is to illustrate an active portfolio management methodology reducing the risk of the portfolio through stabilization of returns, by applying the proportional, integral, derivative (PID) control on the pure portfolio return variable. Two ...

Management took on too much active risk in its investment decisions, claiming negligence. In addition, institutional investors increasingly define mandates' limits of risk on the basis of tracking error (or another metric) and it is not uncommon to see management fees paid by ...

Management took on too much active risk in its investment decisions, claiming negligence. In addition, institutional investors increasingly define mandates' limits of risk on the basis of tracking error (or another metric) and it is not uncommon to see management fees paid by ...