Application of multifactorial markettiming models to assess risk and effectiveness of equity-linked insurance funds in Poland
Magdalena Homa () and
Monika Mościbrodzka ()
Statistics in Transition new series, 2015, vol. 16, issue 2, 279-292
Traditionally, models developed by Treynor and Mazuy (T-M) and also by Henriksson-Merton (H-M), which are called market-timing models, are applied to assess effectiveness of investment funds. The objective of the presented study is an application of the T-M and H-M models and their T-M-FF and H-M-FF modifications with additional Fama-French factors to assess effectiveness and risk of equity insurance connected with unit-linked insurance. Estimation and verification of the models for the subject group of equity funds were performed and the significance of the impact of particular factors on returns on reference portfolios was discussed.
Keywords: market-timing model; Fama-French factor; equity funds (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:csb:stintr:v:16:y:2015:i:2:p:279-292
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