ASSESSING THE EFFICIENCY OF INVESTMENT FUND MANAGEMENT USING QUANTILE RISK MEASURES

Anna Rutkowska-Ziarko () and Przemyslaw Garsztka ()
Additional contact information
Anna Rutkowska-Ziarko: Department of Quantitative Methods Faculty of Economic Sciences University of Warmia and Mazury in Olsztyn
Przemyslaw Garsztka: Department of Econometrics Faculty of Informatics and Electronic Economy Poznan University of Economics

OLSZTYN ECONOMIC JOURNAL, 2016, vol. 11, issue 3, 277-298

Abstract: The aim of the research is to compare the efficiency of managing selected Polish investment funds in various phases ofstock marketcondition. The Value at Risk (VaR)and Conditional Valueat Risk (CVaR) is used to construct efficiency ratios of fund management. Those funds investing in financial instruments have the most stable expected rate of return and the lowest risk, in all the analysed periods which made them highly effective. The article also discusses the alternative methods to VaRandCVa Restimation which are used in the study. It is noted VaR and CVaR estimates obtained using backtesting and using APARCH models give similar results.

Keywords: mutual fund; management efficiency; value-at-risk; conditional value-at-risk; APARCH model (search for similar items in EconPapers)
JEL-codes: A1 E0 G0 (search for similar items in EconPapers)
Date: 2016
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.uwm.edu.pl/wne/podstrony/oej1/wydania/eko11_16_3.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ole:journl:v:11:y:2016:i:3:p:277-298

Access Statistics for this article

More articles in OLSZTYN ECONOMIC JOURNAL from University of Warmia and Mazury in Olsztyn, Faculty of Economic Sciences
Bibliographic data for series maintained by Wioletta Wierzbicka ().