EVALUATION OF THE RESULTS OF THE EQUITY FUNDS IN THE YEARS 2004–2015 USING VaR AND CVaR MEASURES
EVALUATION OF THE RESULTS OF THE EQUITY FUNDS IN THE YEARS 2004–2015 USING VaR AND CVaR MEASURES
Author(s): Dorota Żebrowska-SuchodolskaSubject(s): Methodology and research technology, Evaluation research, Financial Markets
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: investment efficiency; value at risk (VaR); conditional value at risk (CVaR); reward to value at risk ratio; conditional Sharpe ratio (CS);
Summary/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.
Journal: Acta Scientiarum Polonorum. Oeconomia
- Issue Year: 17/2018
- Issue No: 3
- Page Range: 131-139
- Page Count: 9
- Language: English