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An Analysis of the Performance of Irish Property-Based and Equity-Based Unit-Linked Funds over the Past Decade Using the Techniques of Risk-Adjusted Performance Analysis and Safety-First Selection Criteria

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  • Stephen Walsh

Abstract

The objective of the study is to compare the ranking of funds based on returns achieved, with alternative rankings based on both risk-adjusted performance measures and on safety-first selection criteria. This will allow an assessment of the value of such measures and whether they offer any additional information to the investor. In addition it will contrast the applicability of this type of analysis to property-based and equity-based funds. Each fund would be ranked on each of the risk-adjusted measures and on each of the safety-first measures. A correlation analysis would be undertaken on the rankings of the funds across the different measures. The results would be tested for their robustness to changing the key parameters by appropriate sensitivity analysis of the results.

Suggested Citation

  • Stephen Walsh, 2005. "An Analysis of the Performance of Irish Property-Based and Equity-Based Unit-Linked Funds over the Past Decade Using the Techniques of Risk-Adjusted Performance Analysis and Safety-First Selection Cri," ERES eres2005_346, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2005_346
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    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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