Assessing the Efficiency of Investment Fund Management Using Quantile Risk Measures
Assessing the Efficiency of Investment Fund Management Using Quantile Risk Measures
Author(s): Anna Rutkowska-Ziarko, Przemysław GarsztkaSubject(s): Economy, Financial Markets
Published by: Wydawnictwo Uniwersytetu Warmińsko-Mazurskiego w Olsztynie
Keywords: mutual fund; management efficiency; value-at-risk; conditional value-at-risk;
Summary/Abstract: The aim of the research is to compare the efficiency of managing selected Polish investmentfunds in various phases of stock market condition. The Value at Risk (VaR) and Conditional Value atRisk (CVaR) is used to construct efficiency ratios of fund management. Those funds investing infinancial instruments have the most stable expected rate of return and the lowest risk, in all theanalysed periods which made them highly effective. The article also discusses the alternative methods to VaR and CVaR estimation which are used in the study. It is noted VaR and CVaR estimates obtained using backtesting and using APARCH models give similar results.
Journal: Olsztyn Economic Journal
- Issue Year: 11/2016
- Issue No: 3
- Page Range: 277-298
- Page Count: 22
- Language: English