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 96
- Downloads 0
Linear-Dynamic Programming as a Basis for Setting the Directions of Development for Field Farms Against Changes in the Common Agricultural Policy in Medium-Term Perspective
The purpose of the article is an attempt to determine, in the 2019 perspective, the economic situation of farms specialising in cereals, oilseeds and protein crops, with the economic size of 4–25 (very small), 25–50 (med...
Effectiveness of Centralized Mechanism of Labor Resource Allocation - Experimental Tests
In the article the issue of labor resources allocation in the context of the emerging field of economic sciences known as “market design” was discussed. The assumptions for the designed experimental environment were disc...
Evaluation of Fundamental Strength of Food Companies on the Warsaw Stock Exchange
The article presents the proposal to apply the (universal) method of assessing the fundamental strength of a company with an example of the Polish food sector. The proposed method belongs to the group of methods of multi...
Polish Open-End Pension Funds Performance and its Persistance
This paper deals with the assessment of the investment results achieved by 14 pension funds functioning on the Polish market in 2000–2013. Calmar, Omega, upside potential ratio (UPR) and Sortino ratios were used to estim...
Changes in Food Consumption in Poland and Other EU Countries
The article presents the determinants and directions of changes in food consumption in Poland against the background of other EU countries. Presentation the state of scientific knowledge is a baseline for further conside...