Performance persistence analysis is important as it has a decisive influence on investor allocation decisions. Investors can use quasi-hedge funds’ persistence to build effective investment strategies. Thus, the paper explores performance persistence of quasi-hedge funds operating at the Polish capital market. The methodology is based on constructing the new market performance index intended only for absolute return funds. It is validated regarding absolute returns of Polish quasi-hedge funds. The Absolute Return Index (ARI) is used to rate quasi-hedge funds’ performance persistence in assessing their fundamental purpose: to deliver consistently positive returns in all market conditions. For this, their quarterly return rates are used. All 53 funds operating for at least 36 months and representing 48.2% of the entire segment of absolute return funds are analyzed. The use of ARI allows examining quasi-hedge funds’ performance persistence in terms of market changes and the assessment of their purpose. In the short term (6 months) profitability remained persistent, while in the long term (12 months) such a hypothesis could be refuted. More than 40% of funds showed positive persistence within six months; only positive persistence occurred in the short term. 9.4% of funds repeatedly obtained negative returns, so absolute return funds’ negative performance persisted neither in the short nor long term. Closed-ended investment funds showed much stronger persistence of above-average positive returns, which additionally tended to avoid repeating negative returns in two-quarter and four-quarter series. This confirms the assumption that in this respect the Polish market is similar to the developed ones.

Economic function of hedge funds is exactly the same as the one performed by investment funds. In both cases managers are in charge of investors' money. Investors hope that if they withdraw their money, they will recover their contribution and fair return. The first section of the article presents the essence of hedge funds. The second section discusses measures for assessing the effects of investment policy pursued by hedge funds. The third section analyses the investment performance of hedge funds compared to S&P 500 index. The results of the analysis enabled the author to state that hedge funds achieve considerably higher rates of return regardless of market situation.

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AbstraktCel: Analiza przyczyn, powiązań i skutków wpływu inwestorów finansowych na rynki towarowe w okresie przed-i pokryzysowym. Metodologia: Badanie dominującego wpływu sektora finansowego na kształtowanie się cen na rynkach towarowych, definiowanego jako finansyzacja rynków towarowych oparto na narracyjnym podejściu metodologicznym (narrative approach). Polega ono na tym, że na podstawie dostępnych dokumentów historycznych, podejmowana jest próba zrekonstruowania czynników powodujących strukturalne zmiany na rynkach towarowych, skutkujące upodabnianiem się rynków towarowego i finansowego, w szczególności kapitałowego. Wnioski: Na podstawie przeprowadzonych badań stwierdzono, że globalny kryzys finansowy przyczynił się nie tylko do ogromnej zmiany w skali zaangażowania inwestorów finansowych na rynkach towarowych, ale także spowodował strukturalne jego zmiany, którym towarzyszy równocześnie wiele negatywnych konsekwencji. Oryginalność: W wyniku przeprowadzonych badań zwrócono uwagę, że finansyzacja rynków towarowych przejawia się radykalnym zwiększeniem skali wahań cen na rynkach towarowych powodując oderwanie ich od wartości godziwej. Zaprezentowano przemiany strukturalne i towarzyszące im próby przeciwdziałania ich negatywnym konsekwencjom, polegające na wprowadzaniu regulacji zmierzających do uzyskania większej transparentności działalności inwestorów finansowych na tych rynkach. Słowa kluczowe: kryzys finansowy, rynki towarowe, finansyzacja Financial Crisis and the Financialization of Commodity MarketsPrimary submission: 11.12.12 | Final acceptance: 02.04.13 Abstract Purpose: Analysis of reasons, correlations and consequences following from the impact that financial investors have on commodity markets -both before and after the crisis. Methodology: The research on the tremendous impact that the financial sector exerts on price formation in commodity markets, defined as the financialization of commodity markets, was based on a narrative approach. This approach makes use of available historical documents and attempts to reconstruct factors causing structural changes in commodity markets. As a result of these factors, commodity and financial markets (and particularly capital market) have become similar to a great extent. Findings: Drawing upon the research, it can be stated that the global financial crisis has contributed not only to a major change in the involvement of investors in commodity markets, but also to a structural change of this involvement, which is accompanied by a number of negative consequences. Originality: The research enables to draw certain conclusions, e.g. that the financialization of commodity markets is reflected in a radical price fluctuation in these markets due to which the prices are isolated from fair value. Structural changes are also discussed. They entail the attempt to counteract such negative consequences, e.g. regulations imposed to provide a greater transparency of the activity undertaken by investors in commodity markets.