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Wyszukujesz frazę "open-end mutual funds" wg kryterium: Temat


Wyświetlanie 1-3 z 3
Tytuł:
THE COMPARISON OF RANKINGS CREATED FOR OPEN-END EQUITY MUTUAL FUNDS WITH APPLICATION OF DIFFERENT EFFECTIVENESS MEASURES
Autorzy:
Karpio, Andrzej
Zebrowska-Suchodolska, Dorota
Powiązania:
https://bibliotekanauki.pl/articles/452758.pdf
Data publikacji:
2013
Wydawca:
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Tematy:
open-end mutual funds
measures of investment effectiveness
Spearman rang coefficient
Opis:
The presented work tries to carry out the comparison analysis of eight measures which are used to judge the open-end mutual fund’s management. These are: coefficient of Burke, Sterling, Calmar, Omega, Sortino, Sharpe – Izraelsen, Information Ratio and potential of excess rate of return. The above measures were applied to equity mutual funds operating on polish capital market in 2003-2012 years. The investigations were carried out for three periods: 2003-2012 and for two five years sub-periods. Within which of them the ranking of funds were created to classify them from the most effective to the smallest. In order to answer the question about the influence of singled out effectiveness measures on judgment of portfolio management the Spearman rang coefficients were calculated between rankings created with application of different measures. In this way the detailed information was obtained not only about “the best” and “the worst” mutual funds in different periods but also this information was made dependent on market condition. It is because the division of investigation period on two sub-periods harmonizes with bullish and bearish market on polish stock exchange. From one point this work is some recapitulation of the results obtained by authors in previous investigations but from another point it is some kind of its extension and generalization.
Źródło:
Metody Ilościowe w Badaniach Ekonomicznych; 2013, 14, 1; 202-211
2082-792X
Pojawia się w:
Metody Ilościowe w Badaniach Ekonomicznych
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The risk of the Polish equity funds in the years 2004-2018 determined using the VaR and CVaR measures
Autorzy:
Żebrowska-Suchodolska, Dorota
Powiązania:
https://bibliotekanauki.pl/articles/2147438.pdf
Data publikacji:
2019-06-03
Wydawca:
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Tematy:
investment risk
open-end mutual funds
Value at Risk (VaR)
conditional Value at Risk (CVaR)
Źródło:
Metody Ilościowe w Badaniach Ekonomicznych; 2019, 20, 1; 72-82
2082-792X
Pojawia się w:
Metody Ilościowe w Badaniach Ekonomicznych
Dostawca treści:
Biblioteka Nauki
Artykuł
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
Artykuł
    Wyświetlanie 1-3 z 3

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