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

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  • Homa Magdalena

    (Uniwersytet Wrocławski Instytut Nauk Ekonomicznych, ; Wroclaw, Poland)

  • Mościbrodzka Monika

    (Uniwersytet Wrocławski Instytut Nauk Ekonomicznych, ; Wroclaw, Poland)

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.

Suggested Citation

  • Homa Magdalena & Mościbrodzka Monika, 2015. "Application of Multifactorial Market-timing Models to Assess Risk and Effectiveness of Equity-Linked Insurance Funds in Poland," Statistics in Transition New Series, Polish Statistical Association, vol. 16(2), pages 279-292, June.
    • Handle: RePEc:vrs:stintr:v:16:y:2015:i:2:p:279-292:n:4
    DOI: 10.21307/stattrans-2015-015
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    References listed on IDEAS

    as
    1. Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," The Journal of Business, University of Chicago Press, vol. 54(4), pages 513-533, October.
    2. Fama, Eugene F & French, Kenneth R, 1996. "Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
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