ASSESSMENT OF EFFICIENCY OF INVESTMENT IN COMPANIES BELONGING TO THE RARE EARTH METALS SECTOR

Autor

  • Monika Krawiec Szkoła Główna Gospodarstwa Wiejskiego w Warszawie Autor
  • Anna Górska Szkoła Główna Gospodarstwa Wiejskiego w Warszawie Autor

DOI:

https://doi.org/10.15290/

Słowa kluczowe:

rare earth metals, indirect commodity investments, risk-adjusted performance measures

Abstrakt

Purpose - This paper aimed at assessing the efficiency of investment in companies belonging to the rare earth elements sector and examining the stability of the results.

Research method The following performance measures were used in the study: modified Sharpe and Omega, Sortino, Calmar, Sterling and Burke ratios. The investigation is based on daily quotations of selected companies whose business activities were related to extraction, processing and recycling of rare earth metals in the period: July 2018 through June 2023 and MVIS® Global Rare Earth/Strategic Metals Index representing the global market.

Results - The analysis for the entire period revealed a worse performance of investments in rare earth stocks than investment in risk-free assets. Only AREC outperformed other securities offering the best results for 3 of 6 ratios. To examine the stability of the results, the total investigation period was divided into 5 subperiods and all performance ratios were determined for each of them. A strong variation of results did not allow to recognise stable patterns. When the results for the entire investigation period were used as a benchmark, only MVREMX offered stable and attractive results of modified Sharpe ratio outperforming the five-year value in 4 out of 5 subperiods.

Originality /value / implications /recommendations – This study provides a new insight into the rare earths sector regarding its growing international importance and the efficiency of investments into listed rare earth firms. The examination uses two-dimensional measures offering the advantage of simultaneously combining return and risk into a single performance number. The findings imply the necessity of improving the stock price performance to attract investors’ interest.

Bibliografia

Assaf A., Mokni K., & Gil-Alana L.A., 2023, Long Memory and Change in Persistence in the Rare Earth Market Index. “Energy RESEARCH LETTERS”, 4(Early View), 136-148, DOI: 10.46557/001c.36532.
Bouri E., Kanjilal K., Gosh S., Rubaud D. & Saeed T., 2021, Rare earth and allied sectors in stock markets: extreme dependence of return and volatility, “Applied Economics”, 53(49), 5710-5730, DOI: 10.1080/00036846.2021.1927971.
Eling M., 2008, Commodity Trading Advisors: a review of historical performance. In F.J. Fabozzi, R. Füss & D.G. Keiser (Eds.), The Handbook of Commodity Investing (pp. 626-647). John Wiley & Sons.
Fernandez V., 2017, Rare earth elements market: a historical and financial perspective, “Resources Policy”, 53, 26-45. DOI: 10.1016/j.resourpol.2017.05.010.
Füss R., Hoppe Ch., & Kaiser D.G., 2008, Review of commodity futures performance benchmarks, In F.J. Fabozzi, R. Füss & D.G. Keiser (Eds.), The Handbook of Commodity Investing (pp. 169-202). John Wiley & Sons.
Israelsen C.L., 2005, A refinement to the Sharpe ratio and information ratio, “Journal of Asset Management”, 5(6), 423-427, http://link.springer.com/10.1057/palgrave.jam.
2240158.
Kublik A., 2021, Dlaczego świat szuka metali ziem rzadkich, „Gazeta Wyborcza”, 30.04.2021, 26-27. www.wyborcza.pl/magazyn.
Lee C.C., Yahya F., & Razzaq A., 2022, The asymmetric effect of temperature, exchange rate, metals, and investor sentiments on solar stock price performance in China: evidence from QARDL approach, “Environmental Science and Pollution Research”, 29, 78588-78602, DOI: 10.1007/s11356-022-21341-4.
Mikulec A., 2011, Nieklasyczne metody oceny efektywności inwestycji, In C. Domański (Ed.), Nieklasyczne metody oceny efektywności i ryzyka (pp.166-198), PWN.
Nassar N.T., Wilburn D.R., & Goonan T.G., 2016. Byproduct metal requirements for U.S. wind and solar photovoltaic electricity generation up to the year 2040 under various Clean Power Plan scenarios, “Journal of Applied Energy”, DOI: 10.1016/j.apenergy.2016.08.062.
Özdurak C., & Ulusoy V., 2020, Spillovers from the slowdown in China on financial and energy markets: An application of VAR-VECH-TARCH models, “International Journal of Financial Studies”, 8(3), 1-17, DOI: 10.3390/ijfs8030052.
Proelss J., & Schweizer D., 2008, Efficient frontier of commodity portfolios, In F.J. Fabozzi, R. Füss & D.G. Keiser (Eds.), The Handbook of Commodity Investing (pp. 454-478). John Wiley & Sons.
Reboredo J.C., & Ugolini A., 2020, Price spillovers between rare earth stocks and financial markets, “Resources Policy”, 66, DOI: 10.1016/j.resourpol.2020.101647.
Song Y., Boui E., Ghosh S. & Kanjilal K., 2021, Rare earth and financial markets: Dynamics of return and volatility connectedness around the COVID-19 outbreak, “Resources Policy”, 74, 136-148, DOI: 10.1016/j.resourpol.2021.102379.
Sun X., 2022, Supply chain risk of critical metals: Sources, propagation, and responses, “Frontiers in Energy Research”, DOI: 10.3389/fenrg.2022.957884.
Ul Haq I., Nadeem H., Maneengam A., Samantreeporn S., Huynh N., Kettanom T. & Wisetsri W., 2022, Do Rare Earths and Energy Commodities Drive Volatility Transmission in Sustainable Financial Markets? Evidence from China, Australia and the US, “International Journal of Financial Studies”, 10 (76), DOI: 10.3390/ijfs10030076.
www 1, www.americanresourcescorp.com [date of entry: 28.08.2023]
www 2, www.bloomberg.com [date of entry: 24.07.2023]
www 3, www.canadarareearth.com [date of entry: 28.08.2023]
www 4, www.finance.yahoo.com [date of entry: 24.07.2023]
www 5, www.geomega.ca [date of entry: 28.08.2023]
www 6, www.lynasrareearths.com [date of entry: 28.08.2023]
www 7, www.marketvector.com [date of entry: 28.08.2023]
www 8, www.matrixservicecompany.com [date of entry: 28.08.2023]
www 9, www.nasdaq.com [date of entry: 24.07.2023]
www 10, www.northernminerals.com.au [date of entry: 28.08.2023]
www 11, www.rareelementresources.com [date of entry: 28.08.2023]
www 12, www.ucore.com [date of entry: 28.08.2023]

Opublikowane

2024-03-29

Numer

Dział

Miscellanea