Temat: investment performance - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Comparison of investment performance measures using the example of selected stock exchanges
Autorzy:: Potrykus, Marcin
Powiązania:: https://bibliotekanauki.pl/articles/949133.pdf
Data publikacji:: 2018
Wydawca:: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Tematy:: investment performance
investment portfolio
correlation
R program
Opis:: In this paper the main objective is to examine whether the selection of the performance measure influences the evaluation of individual investments and the performance rankings generated on that basis. This study presents the values of 16 performance indicators along with their detailed descriptions. All calculations were made using the R program, and the source code can be found at the end of the article. Nine selected stock indices were analysed during the period January 1997– December 2015, and the monthly logarithmic rates of return for these indices were calculated. For 14 out of the 16 measures analysed it was shown that the choice of effectiveness measure had no influence on the evaluation of individual investments; therefore it is not important whether the investor uses the Sharpe ratio or the Calmar ratio as an indicator of efficiency since both measures are almost identical in rank for a particular investment. This has not been confirmed for the Upside Potential ratio, which means that using this indicator may lead to different investment decisions in which the objective is to maximize efficiency. Moreover, based on the analysis it was found that the OMXC 20, DAX 30, and OMXS 30 indexes had the highest efficiency during the period January 1997–December 2015, while the AEX, WIG 20, and PSI 20 indexes were characterized with having the lowest levels of efficiency.
Źródło:: Financial Sciences. Nauki o Finansach; 2018, 23, 2; 30-46
2080-5993
2449-9811
Pojawia się w:: Financial Sciences. Nauki o Finansach
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: The impact of global risk on the performance of socially responsible and conventional stock indices
Autorzy:: Śliwiński, Paweł
Łobza, Maciej
Powiązania:: https://bibliotekanauki.pl/articles/22446626.pdf
Data publikacji:: 2017
Wydawca:: Instytut Badań Gospodarczych
Tematy:: socially responsible investments (SRI)
socially responsible indices
investment performance
financial global risk
VIX
Opis:: Research background: In the last decades social responsible investment has evolved into an important and influential investment class. What supports then the development of SRI? The neoclassical approach suggests that the attractiveness of investment should result from the risk-return relationship that is satisfying for the investor. However, the performance analysis of SRI vs. conventional investment, conducted in numerous research papers, often delivers contradictory conclusions. If financial factors could not explain the phenomenon of SRI, nonfinancial factors may have played a decisive role in the formation of modern SRI market. Purpose of the article: The purpose of this paper is to analyze financial investment performance of socially responsible vs. respective conventional indices in the periods of high, low and unidentified global risk. Therefore, a following research hypothesis was verified: SR indices perform financially better in high-risk periods than in low-risk periods. This hypothesis is justified by the assumption that, when selecting SRI, investors go by a longer investment horizon than they do when selecting other investments, not subject to such verification. Methods: Among SR indices, we chose three to compare them with their conventional counterparts: DJSI US vs. DJITR (USA), DJSI Korea vs. KOSPI (South Korea) and Respect Index vs. WIG20TR (Poland). The VIX index was used as the global measure of risk aversion. To measure the relative performance of SR and conventional indices in different risk periods, we applied risk-adjusted performance measures, including RSD, Sharpe and Treynor ratios, traditional and asymmetrical CAPM. Findings & Value added: The research shows that conventional and socially responsible indices do not differ statistically in terms of risk and return irrespective of global risk. Our research confirms that the rising, socially responsible, investment market cannot be analyzed only through the prism of simplified rational choices. Additionally, it should be analyzed in terms of moral philosophy and behavioral economics, including the psycho-social features of investors.
Źródło:: Equilibrium. Quarterly Journal of Economics and Economic Policy; 2017, 12, 4; 657-674
1689-765X
2353-3293
Pojawia się w:: Equilibrium. Quarterly Journal of Economics and Economic Policy
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 3.

Tytuł:: Does Relative Performance of Socially Responsible Investing Increase With Financial Risk?
Czy relatywna efektywność inwestowania odpowiedzialnego społecznie wzrasta wraz z ryzykiem finansowym?
Autorzy:: Śliwiński, Paweł
Łobza, Maciej
Powiązania:: https://bibliotekanauki.pl/articles/1922376.pdf
Data publikacji:: 2019-08-02
Wydawca:: Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
Tematy:: Socially Responsible Investments
RESPECT Index
investment performance
inwestycje odpowiedzialne społecznie
efektywność finansowa inwestycji
Opis:: The research paper positively verified the research hypothesis that the relative financial performance of investments in socially responsible indices against the performance of conventional indices may go up as the global financial risk, measured by the VIX index, increases. Socially Responsible Investing can be rational from the financial point of view. In addition to the ethical aspect, it may fulfill the function of protecting the investment portfolio in periods characterized by a high level of global risk. The hypothesis was tested using statistical research based on a comparative portfolio analysis of the geographically diverse SRI indices (RESPECT Index and DJSI) against the reference points which were the territorially relevant conventional stock indices (WIG20TR and DJITR). JEL: G11, G41 null The creation of the English-language version of these publications is fi nanced in the framework of contract No. 607/P-DUN/2018 by the Ministry of Science and Higher Education committed to activities aimed at the promotion of education.
W artykule pozytywnie zweryfikowano hipotezę badawczą, że relatywna efektywność finansowa inwestycji w indeksy odpowiedzialne społecznie względem efektywności indeksów konwencjonalnych może wzrastać wraz ze wzrostem finansowego ryzyka globalnego mierzonego indeksem VIX. Inwestowanie odpowiedzialnie społeczne może być zatem racjonalne finansowo i pełnić, poza aspektem etycznym, funkcję ochrony portfela inwestycyjnego w okresach charakteryzujących się wysokim poziomem globalnego ryzyka. Weryfikację postawionej hipotezy przeprowadzono z wykorzystaniem badań statystycznych opartych na komparatywnej analizie portfelowej zróżnicowanych geograficznie giełdowych indeksów SRI (RESPECT Index i DJSI) względem punktów odniesienia, którymi były odpowiadające im terytorialnie giełdowe indeksy konwencjonalne (WIG20TR i DJITR). JEL: G11, G41 null The creation of the English-language version of these publications is fi nanced in the framework of contract No. 607/P-DUN/2018 by the Ministry of Science and Higher Education committed to activities aimed at the promotion of education.
Źródło:: Problemy Zarządzania; 2019, 3/2019 (83); 212-228
1644-9584
Pojawia się w:: Problemy Zarządzania
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 4.

Tytuł:: Positioning equity mutual funds performance with the use of various risk measures
Autorzy:: Żebrowska-Suchodolska, Dorota
Karpio, Andrzej
Powiązania:: https://bibliotekanauki.pl/articles/2128548.pdf
Data publikacji:: 2020
Wydawca:: Uniwersytet w Białymstoku. Wydawnictwo Uniwersytetu w Białymstoku
Tematy:: risk
rate of return
open-end mutual fund of shares
investment performance
ranking of funds
Opis:: Purpose – Verifying the hypothesis that the ranking positions of funds are not repeatable during periods of changing market conditions. The subject of research are equity investment funds operating on the Polish market in the years 2003-2017. Research method – The research employed various risk measures appearing in investment performance indicators: as measures of variability relative to the average rate of return or market benchmark as well as measures of potential investor losses. Performance comparisons were made in five-year subperiods taking into account the monthly percentage changes in participation units. In each subperiod, a number of rankings based on the following indicators: Sharpe, Information Ratio, Sortino, Martin, Pain, Calmar, RVaR, mRVaR and CS were created. Results – There are no funds that would occupy high ranking positions created on the basis of various indicators. Positions taken by equity funds change randomly regardless of the situation on the capital market. Originality /value / implications /recommendations – The study uses a wide range of measures that differ in many important parameters from an investment point of view. In particular, this applies not only to risk measures, but also to benchmarks. The authors tried to increase the value of the study by associating subperiods with periods of changing market conditions. This allows conclusions to be drawn regarding the capital market segment. The presented studies can be extended to funds from other risk classes.
Źródło:: Optimum. Economic Studies; 2020, 2(100); 132-147
1506-7637
Pojawia się w:: Optimum. Economic Studies
Dostawca treści:: Biblioteka Nauki

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