Assessing the Efficiency of Investment Fund Management Using Quantile Risk Measures
Anna Rutkowska-ZiarkoDepartment of Quantitative Methods, Faculty of Economic Sciences, University of Warmia and Mazury in Olsztyn
Przemysław GarsztkaDepartment of Econometrics, Faculty of Informatics and Electronic Economy, Poznan University of Economics
The aim of the research is to compare the efficiency of managing selected Polish investment funds in various phases of stock market condition. The Value at Risk (VaR) and Conditional Value at 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 VaR and CVaR estimation which are used in the study. It is noted VaR and CVaR estimates obtained using backtesting and using APARCH models give similar results.
Keywords:mutual fund, management efficiency, value-at-risk, conditional value-at-risk, APARCH model
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