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Assessing The Efficiency Of Investment Fund Management Using Quantile Risk Measures

Author

Listed:
  • Anna Rutkowska-Ziarko

    (Department of Quantitative Methods Faculty of Economic Sciences University of Warmia and Mazury in Olsztyn)

  • Przemyslaw Garsztka

    (Department of Econometrics Faculty of Informatics and Electronic Economy Poznan University of Economics)

Abstract

The aim of the research is to compare the efficiency of managing selected Polish investment funds in various phases ofstock marketcondition. The Value at Risk (VaR)and Conditional Valueat Risk (CVaR) is used to construct efficiency ratios of fund management. Those funds investing in financial instruments have the most stable expected rate of return and the lowest risk, in all the analysed periods which made them highly effective. The article also discusses the alternative methods to VaRandCVa Restimation which are used in the study. It is noted VaR and CVaR estimates obtained using backtesting and using APARCH models give similar results.

Suggested Citation

  • Anna Rutkowska-Ziarko & Przemyslaw Garsztka, 2016. "Assessing The Efficiency Of Investment Fund Management Using Quantile Risk Measures," OLSZTYN ECONOMIC JOURNAL, University of Warmia and Mazury in Olsztyn, Faculty of Economic Sciences, vol. 11(3), pages 277-298, August.
    • Handle: RePEc:ole:journl:v:11:y:2016:i:3:p:277-298
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    File URL: http://www.uwm.edu.pl/wne/podstrony/oej1/wydania/eko11_16_3.pdf
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    More about this item

    Keywords

    mutual fund; management efficiency; value-at-risk; conditional value-at-risk; APARCH model;
    All these keywords.

    JEL classification:

    • A1 - General Economics and Teaching - - General Economics
    • G0 - Financial Economics - - General
    • E0 - Macroeconomics and Monetary Economics - - General

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