Investment efficiency of equity funds in the years 2004-2014 by using drawdown measures
Szkoła Główna Gospodarstwa Wiejskiego (SGGW), Nowoursynowska 166, Warszawa 02-787, Poland
To evaluate the effectiveness of investment assets are used the most often classic measures of investment efficiency. They take into account the risk in the context of losses as well as profits for the investor. An alternative to conventional measures are non-classical measures of investment efficiency which use only the results unfavorable for the investor. Therefore, in their patterns appear to be negative semivariance or various types of capital drawdown.
The aim of this study is to evaluate the effectiveness of FIO fund investments by using measures which take into account drawdown of capital, which include indicators Pain and Martin.
The study involved 16 equity funds that existed on the Polish market in the years 2004-2014. The study concerned the monthly percentage changes in units of these funds. The research was conducted both for the entire period, ie. years 2004-2014 and sub-periods, which has been divided study period.
|Auxiliary resources (full texts, presentations, posters, etc.)|
Presentation: Poster at Current Economic and Social Topics 2015, by Dorota Żebrowska-Suchodolska
See On-line Journal of Current Economic and Social Topics 2015
Submitted: 2015-12-07 21:59 Revised: 2016-02-15 20:10