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Анализ инвестиционной деятельности на основе количественных мер, настроенных на риск // Performance Analysis Based on Adequate Risk-Adjusted Measures

Author

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  • A. Melnikov

    (University of Alberta)

  • D. Vyachkileva

    (University of Alberta)

  • А. Мельников

    (Университет Альберты)

  • Д. Вячкилева К.

    (Университет Альберты)

Abstract

There are many potential investment options for investors and they should be able to compare them on a risk-adjusted basis. If investors rely only on pure return they can be exposed to a high risk. Therefore, many investors rely on adequate performance measures to evaluate potential investment opportunities. In this paper, we describe widely used risk-adjusted performance measures and add correlation through the M3 measure. We apply described measures to real financial data in order to rank managers and compare rankings between measures. We also look at the following year measures to compare the results with predictions. Для инвесторов существует множество инвестиционных решений, и у них должна быть возможность сравнивать их эффективность с помощью количественных показателей, учитывающих риски. Если инвестор основывает свой выбор инвестиционного решения только на величине доходности, то он подвергается риску невозврата его инвестиций. Ввиду этого обстоятельства инвесторы основываются на таких количественных показателях качества своей инвестиционной деятельности, которые отражают возникающие при этом риски. В статье даются развернутые характеристики не только широко распространенных показателей такого типа, но и показателю М3, который учитывает корреляцию активов. Арсенал этих и других показателей применяется к реальным финансовым данным для более адекватного ранжирования инвестиционных менеджеров, позволяя при этом сравнивать полученные результаты с одногодичным прогнозом.

Suggested Citation

  • A. Melnikov & D. Vyachkileva & А. Мельников & Д. Вячкилева К., 2018. "Анализ инвестиционной деятельности на основе количественных мер, настроенных на риск // Performance Analysis Based on Adequate Risk-Adjusted Measures," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 6(3), pages 5-18.
    • Handle: RePEc:scn:00rbes:y:2018:i:3:p:5-18
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    References listed on IDEAS

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    1. Martin Eling, 2009. "Does Hedge Fund Performance Persist? Overview and New Empirical Evidence," European Financial Management, European Financial Management Association, vol. 15(2), pages 362-401, March.
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