EFEKTYWNOŚĆ INWESTYCJI UBEZPIECZENIOWYCH FUNDUSZY KAPITAŁOWYCH DOSTĘPNYCH W RAMACH INDYWIDUALNYCH KONT EMERYTALNYCH W ŚWIETLE MODELU HENRIKSSONA-MERTONA
INVESTMENT PERFORMANCE OF THE INSURANCE FUNDS AVAILABLE UNDER INDIVIDUAL RETIREMENT ACCOUNTS FROM THE PERSPECTIVE OF HENRIKSSON-MERTON MODEL
Author(s): Liwiusz Wojciechowski, Łukasz DopierałaSubject(s): Economy, Business Economy / Management, Methodology and research technology, Financial Markets
Published by: Wydawnictwo Naukowe Uniwersytetu Szczecińskiego
Keywords: investment performance; IKE; funds; insurance; market timing;
Summary/Abstract: The following paper discusses the performance of investment funds offered by insurance companies through individual retirement accounts. The research used Henriksson Merton model, which allows specifying whether the funds managers achieve the rate of return higher than the rate of return of the model portfolio, through appropriate selection of assets and correct purchase or sale timing. The study covered 16 funds with moderate and high-risk, the research basing on data for the period 1.01.2005-30.06.2014. The survey results indicate that the insurance funds managers do not have an active management of the investment portfolio.
Journal: Studia i Prace WNEIZ US
- Issue Year: 2015
- Issue No: 41/3
- Page Range: 55-67
- Page Count: 13
- Language: Polish