Evaluation of the Results of the Equity Funds in the Years 2004-2015 Using VaR and CVaR Measures
Journal Title: Acta Scientiarum Polonorum. Oeconomia - Year 2018, Vol 0, Issue 0
Abstract
The paper presents analysis of the risk and effectiveness of investments in equity funds using value at risk (VaR) and conditional value at risk measures, i.e. reward to value at risk (RVaR) and conditional Sharpe ratio (CS). The study was conducted for 2004–2015, divided into shorter sub-periods (two-, three-, four- and five-year). The stability of the rankings of funds was examined and its significance was verified using the Spearman rank correlation coefficient between subsequent sub-periods. The highest values of measures were observed for 2004–2005. Even then, they were not satisfactory, and the lack of stability of the results does not guarantee that they will be repeated in the future.
Authors and Affiliations
Dorota Żebrowska-Suchodolska
Keywords
Related Articles
- EP ID EP536027
- DOI 10.22630/ASPE.2018.17.3.45
- Views 81
- Downloads 0
Innovation in Economic Theory and the Development of Economic Thought
The article presents the theory of innovation in the attainment of economic sciences. It reviews the economics literature and looks at the importance of innovation in different economic models. It begins with an analysis...
Paradigm of Sustainable Development in Marketing
It is commonly perceived that the marketing and sustainable development are two different terms, since according to existing stereotype they are on two opposite sides of the consumption level. In the article it has been...
Analysis of Contract Farming Effects on Efficiency and Productivity of Small-Scale Sunflower Farmers in Tanzania - a Propensity Score Method Approach
This paper attempts to measure and compare technical efficiency (TE) levels across small scale contract and non-contract sunflowers farmers in Kongwa district, in the central agricultural zone of Tanzania. Sunflower is n...
Characteristics of Vegetable Oil Consumers in Poland in a View of Sustainable Consumption Principles
The paper presents problems of the sustainable consumption. The study focused on an example product, i.e. vegetable oils. One of the elements ensuring sustainable consumption is connected with the development of proper c...
The Influence of Specialized Training on the Quality of Hotel Customers Service
The aim of the study was to identify the changes that have occurred in the quality of hotel services in the past 10 years in the area of eastern Poland. Efforts were made to determine the effect of trainings in managing...