Assessing the Efficiency of Investment Fund Management Using Quantile Risk Measures
Anna Rutkowska-Ziarko
Department of Quantitative Methods, Faculty of Economic Sciences, University of Warmia and Mazury in OlsztynPrzemysław Garsztka
Department of Econometrics, Faculty of Informatics and Electronic Economy, Poznan University of EconomicsAbstract
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 modelReferences
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Hammoudeh S., Santos P.A., Al-Hassan A. 2013. Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks. North American Journal of Economics and Finance 25: 318-334.
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Lim A.E.B., Shanthikumar J.G., Vahn G.Y. 2011. Conditional value-at- risk in portfolio optimization: Coherent but fragile. Operations Research Letters, 39: 163-171, DOI: 10.1016/j.orl.2011.03.004.
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MlSHRA В., Rahman M. 2001. Measuring Mutual Fund Performance using Lower partial moment. Global Business Trends - Contemporary Readings. Academy of Business Administrtaion, USA.
Modigliani F. 1997. Risk-Adjusted Performance. Journal of Portfolio Management (Winter), 23: (2) 45-54.
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Quaranta A.G, Zaffaroni A. 2008. Robust optimization of conditional value at risk and portfolio selection. Journal of Banking & Finance, 32: 2046- 2056.
Rockafellar R.T., Uryasev S. 2000. Optimization of conditional value-at-risk. Journal of Risk, 2: 21- 41.
Rockafellar R.T., Uryasev S. 2002. Optimization and Conditional Value-at-Risk for General loss Distributions. Journal of Banking and Finance, 26: 1443-1471.
Sharpe W.F. 1966. Mutual Fund Performance. Journal of Business, 39: 119-138, DOI: 10.1086/294846.
So M.K.P., Yu P.L.H. 2006. Empirical analysis ofGARCH models in value at risk estimation. Journal of International Financial Markets. Institutions and Money, 16: 180-197.
Sortino F., Satchell S. 2001. Managing downside risk in financial markets: theory, practice and implementation. Butterwarth-Heinemann, Oxford.
Treynor J.L. 1965. How to Rate Management of Investment Funds. Harvard Business Review, 43: 63- 75.
Zamojska A. 2012. Efektywność funduszy inwestycyjnych w Polsce. C.H. Beck, Warszawa.
Artzner P., Delbaen F., Eber J.M., Heath D. 1999. Coherent Measures of Risk. Mathematical Finance 9: 203- 228.
Atilgan Y., Demirtas K.O. 2013. Downside risk in emerging markets. Emerging Markets Finance and Trade, 49: 65-83.
Bacon C. 2008. Practical portfolio performance measurement and attribution. John Wiley & Sons Ltd., West Sussex.
Bollerslev T., MlKKELSEN H.O. 1996. Modeling and Pricing Long-Memory in Stock Market Volatility. Journal of Econometrics, 73: 151-184.
Campbell R., Huisman R., Koedijk K. 2001. Optimal portfolio selection in a Value- at-Risk framework. Journal of Banking & Finance, 25(9): 1789-1804.
Ding Z., Granger C.W.J., Engle R.F. 1993. A long memory property of stock market returns and a new model. Journal of Empirical Finance, 1(1): 83-106.
Engle R.F., Bollerslev T. 1986. Modeling the Persistence of Conditional Variances. Econometric Reviews, 5: 1-50.
Giot P., Laurent S. 2003. Value-at-risk for long and short trading positions. Journal of Applied Econometrics, 18: 641- 663.
Glosten L.R., Jagannathan R., Runkle D.E. 1993. On the Relation Between Expected Value and the Volatility of the Nominal Excess Return on Stocks. Journal of Finance, 48: 1779-1801.
Hammoudeh S., Santos P.A., Al-Hassan A. 2013. Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks. North American Journal of Economics and Finance 25: 318-334.
Jensen M.C. 1968. The Performance of Mutual Funds in the Period 1945-1964. Journal of Finance 23: 389-416.
Lim A.E.B., Shanthikumar J.G., Vahn G.Y. 2011. Conditional value-at- risk in portfolio optimization: Coherent but fragile. Operations Research Letters, 39: 163-171, DOI: 10.1016/j.orl.2011.03.004.
Maghyereh A.I., Awartani B. 2012. Modeling and Forecasting Value-at-Risk in the UAE Stock Markets: The Role of Long Memory, Fat Tails and Asymmetries in Return Innovations. Review of Middle East Economics and Finance, 8: 1-22, DOI: 10.1515/1475-3693.1402.
MlSHRA В., Rahman M. 2001. Measuring Mutual Fund Performance using Lower partial moment. Global Business Trends - Contemporary Readings. Academy of Business Administrtaion, USA.
Modigliani F. 1997. Risk-Adjusted Performance. Journal of Portfolio Management (Winter), 23: (2) 45-54.
Pietrzyk R. 2014. Evaluation of mutual fund performance on Polish capital market with the use of market timing models. In: J. Talasovh, J. Stoklasa, T. Talasek, 32nd International Conference Mathematical Methods in Economics. Conference Proceedings. Palacky university, olomouc.
Quaranta A.G, Zaffaroni A. 2008. Robust optimization of conditional value at risk and portfolio selection. Journal of Banking & Finance, 32: 2046- 2056.
Rockafellar R.T., Uryasev S. 2000. Optimization of conditional value-at-risk. Journal of Risk, 2: 21- 41.
Rockafellar R.T., Uryasev S. 2002. Optimization and Conditional Value-at-Risk for General loss Distributions. Journal of Banking and Finance, 26: 1443-1471.
Sharpe W.F. 1966. Mutual Fund Performance. Journal of Business, 39: 119-138, DOI: 10.1086/294846.
So M.K.P., Yu P.L.H. 2006. Empirical analysis ofGARCH models in value at risk estimation. Journal of International Financial Markets. Institutions and Money, 16: 180-197.
Sortino F., Satchell S. 2001. Managing downside risk in financial markets: theory, practice and implementation. Butterwarth-Heinemann, Oxford.
Treynor J.L. 1965. How to Rate Management of Investment Funds. Harvard Business Review, 43: 63- 75.
Zamojska A. 2012. Efektywność funduszy inwestycyjnych w Polsce. C.H. Beck, Warszawa.
Rutkowska-Ziarko, A., & Garsztka, P. (2016). Assessing the Efficiency of Investment Fund Management Using Quantile Risk Measures. Olsztyn Economic Journal, 11(3), 277–298. https://doi.org/10.31648/oej.2933
Anna Rutkowska-Ziarko
Department of Quantitative Methods, Faculty of Economic Sciences, University of Warmia and Mazury in Olsztyn
Department of Quantitative Methods, Faculty of Economic Sciences, University of Warmia and Mazury in Olsztyn
Przemysław Garsztka
Department of Econometrics, Faculty of Informatics and Electronic Economy, Poznan University of Economics
Department of Econometrics, Faculty of Informatics and Electronic Economy, Poznan University of Economics
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