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Comparison of Manipulation-proof Measures on Hungarian Data

Author

Listed:
  • Dávid Andor Rácz

    (Corvinus University of Budapest)

Abstract

The further development of performance measures has managed to remedy some of the problems with earlier solutions, but with regard to the measures used most widely today, the issue of performance manipulation still needs to be tackled. This article presents the manipulation-proof performance measure (MPPM) developed by Ingersoll et al. (2007), which addresses this problem in a general sense. The MPPM used by Brown et al. (2010) is also detailed, along with the doubt ratio they developed, which can be used as a manipulation-detecting measure assessing implied risk aversion. With the calculations included here, this paper is one of the first to compare the MPPM and doubt ratio values calculated with the methods of the two groups of authors, seeking to explain the differences by using data from Hungarian absolute return funds as a sample. The results allow the author to be the first to propose the use of the more accurate MPPM formula of Ingersoll et al. (2007) both for performance measurement and calculation of the doubt ratio.

Suggested Citation

  • Dávid Andor Rácz, 2019. "Comparison of Manipulation-proof Measures on Hungarian Data," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 18(2), pages 31-51.
    • Handle: RePEc:mnb:finrev:v:18:y:2019:i:2:p:31-51
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    References listed on IDEAS

    as
    1. Nestor Gandelman & Ruben Hernandez-Murillo, 2015. "Risk Aversion at the Country Level," Review, Federal Reserve Bank of St. Louis, vol. 97(1), pages 53-66.
    2. Gordon Gemmill & Soosung Hwang & Mark Salmon, 2006. "Performance measurement with loss aversion," Journal of Asset Management, Palgrave Macmillan, vol. 7(3), pages 190-207, September.
    3. Szpiro, George G. & Outreville, Jean-Francois, 1988. "Relative risk aversion around the world : Further results," Journal of Banking & Finance, Elsevier, vol. 6(1, Supple), pages 127-128, January.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    portfolio selection; investment decisions; investment funds; performance assessment;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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