Author:
Tímea Bernadett Mátyás Nemzeti Közszolgálati Egyetem, Közigazgatás-tudományi Doktori Iskola, Budapest, Magyarország
Energiaügyi Minisztérium, Energiapolitikáért Felelős Helyettes Államtitkárság, Budapest, Magyarország

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A kutatás középpontjában a hagyományos és alternatív/megújuló energiaforrásokra összpontosító, tőzsdén kereskedett alapok (ETF-ek) állnak, különös tekintettel a diverzifikációs stratégiák alkalmazásának hatékonyságára befektetési portfóliókban. A tanulmány célja, hogy feltárja a különböző energiaszektorok közötti diverzifikáció hatását a portfóliók kockázat-hozam profiljára, és bemutassa, hogyan befolyásolják ezek a stratégiák a hosszú távú portfólióteljesítményt. Az elemzés során összehasonlító módszertant alkalmaztam, amely kitért a történelmi teljesítményadatok elemzésére és a portfóliószimulációs technikákra, hogy meghatározzuk a diverzifikáció előnyeit a hagyományos és megújuló energiapiacok kontextusában. Az eredmények rámutatnak, hogy az alternatív energiaforrásokba történő diverzifikáció nemcsak a kockázatokat csökkenti, hanem javítja a hozamokat is, amelyek elengedhetetlenek a pénzügyi stabilitás és növekedés szempontjából. Ez a kutatás hozzájárulhat a befektetési stratégiák továbbfejlesztéséhez, és új perspektívákat nyithat a globális energiapiaci dinamikák megértéséhez.

The research focuses on exchange-traded funds (ETFs) that center on traditional and alternative/renewable energy sources, with a particular emphasis on the effectiveness of employing diversification strategies in investment portfolios. The aim of the study is to explore the impact of diversification among various energy sectors on the risk-return profile of portfolios and to demonstrate how these strategies affect long-term portfolio performance. The employed comparative methodology examined historical performance data and portfolio simulation techniques to determine the benefits of diversification. The results indicate that diversification into alternative energy sources not only reduces risks but also improves returns, which are essential for financial stability and growth.

The analysis revealed that traditional energy ETFs typically exhibit higher volatility, while alternative/renewable energy ETFs offer more stable return distributions and lower volatility. The results of the research confirm that renewable energy ETFs can create value and hold their ground in the investment market through their own market dynamics. Portfolio simulation results indicate that alternative/renewable energy ETFs may offer higher average returns while effectively managing risk compared to traditional energy ETFs.

Based on portfolio simulation results, employing diversification strategies that contribute to risk reduction and return enhancement is recommended. ETFs focused on alternative/renewable energy sectors, may be worthy of inclusion in portfolios alongside traditional energy sources to capitalize on opportunities presented by different market cycles.

Evaluation of covariance matrices revealed that traditional energy ETFs generally exhibit higher covariance, indicating similar responses to market changes. This heightened covariance could pose increased market risk, as geopolitical and economic factors affecting traditional energy prices may lead to greater volatility. In contrast, alternative/ renewable energy ETFs demonstrate lower covariance with each other, signaling lesser correlations among portfolios and thus offering better diversification of risk. This lower covariance helps mitigate potential losses caused by market fluctuations.

The objective of the minimum-variance portfolio was to minimize risk, which particularly showed favorable results for renewable energy ETFs, with lower standard deviation and more stable returns. The classic mean-variance strategy by Markowitz aimed to optimize the balance between risk and expected returns, and this strategy was applied to both ETF groups, where alternative energy ETFs showed better risk/return ratios. Sensitivity analysis indicated that alternative energy ETFs offered higher returns and lower volatility, making them attractive for long-term investments. The application of short-selling strategies provided an opportunity for further portfolio optimization, especially in volatile market conditions.

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  • István SABJANICS (Ministry of Interior)
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