Metody oceny wyników inwestycyjnych przy braku normalności rozkładu stóp zwrotu
Investment performance evaluation methods in the absence of normality of the rates of return

Summary/Abstract: In the literature, in addition to the classic return on investment indicators that take into account the risk, also a lot of other measures can be found. Particularly noteworthy are the investment performance evaluation methods used in the absence of normality of the rates of return or when a lot of outliers occur. For example the following methods can be presented here: a modified Sharpe ratio, alfa ratio based on higher moments, Omega ratio and Stutzer index. The paper presents mentioned above measures. Also it will be shown how these measures can be applied and used for the assessment of the investment performance for Open Pension Funds.

• Details
• Contents