Application of Multifactorial Market-timing Models to Assess Risk and Effectiveness of Equity-Linked Insurance Funds in Poland

Homa Magdalena () and Mościbrodzka Monika ()
Additional contact information
Homa Magdalena: Uniwersytet Wrocławski Instytut Nauk Ekonomicznych, ; Wroclaw, Poland
Mościbrodzka Monika: Uniwersytet Wrocławski Instytut Nauk Ekonomicznych, ; Wroclaw, Poland

Statistics in Transition New Series, 2015, vol. 16, issue 2, 279-292

Abstract: 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)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.21307/stattrans-2015-015 (text/html)

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:vrs:stintr:v:16:y:2015:i:2:p:279-292:n:4

DOI: 10.21307/stattrans-2015-015

Access Statistics for this article

Statistics in Transition New Series is currently edited by Włodzimierz Okrasa

More articles in Statistics in Transition New Series from Statistics Poland
Bibliographic data for series maintained by Peter Golla ().