Zastosowanie miar maksymalnej straty na kapitale w badaniu efektywności funduszy hedgingowych

Pruchnicka-Grabias, Izabela

doi:10.33119/kkessip.2015.3.3.10

Cited by 4 publications

(1 citation statement)

References 7 publications

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“…On the domestic market, research related to the measurement of effectiveness is found in a study by Pruchnicka-Grabias [2015]. The article emphasizes that calculating various new measures of investment risk does not contribute to the improvement of the efficiency measurements.…”

Section: Review Of the Research Literature On Investment Performancementioning

confidence: 99%

Comparison of Investment Performance Measures Using the Example of Selected Stock Exchanges

Potrykus¹

2018

FINANCIAL SCIENCES

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In this paper the main objective is to examine whether the selection of the performance measure influences the evaluation of individual investments and the performance rankings generated on that basis. This study presents the values of 16 performance indicators along with their detailed descriptions. All calculations were made using the R program, and the source code can be found at the end of the article. Nine selected stock indices were analysed during the period January 1997-December 2015, and the monthly logarithmic rates of return for these indices were calculated. For 14 out of the 16 measures analysed it was shown that the choice of effectiveness measure had no influence on the evaluation of individual investments; therefore it is not important whether the investor uses the Sharpe ratio or the Calmar ratio as an indicator of efficiency since both measures are almost identical in rank for a particular investment. This has not been confirmed for the Upside Potential ratio, which means that using this indicator may lead to different investment decisions in which the objective is to maximize efficiency. Moreover, based on the analysis it was found that the OMXC 20, DAX 30, and OMXS 30 indexes had the highest efficiency during the period January 1997-December 2015, while the AEX, WIG 20, and PSI 20 indexes were characterized with having the lowest levels of efficiency.

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Section: Review Of the Research Literature On Investment Performancementioning

confidence: 99%

Comparison of Investment Performance Measures Using the Example of Selected Stock Exchanges

Potrykus¹

2018

FINANCIAL SCIENCES

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Traditional Versus Alternative Risk Measures in Hedge Fund Investment Efficiency

Pruchnicka-Grabias

2018

Contributions to Statistics

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Maximum Drawdown Measures in Hedge Fund Efficiency Appraisal

Pruchnicka-Grabias

2016

E-Finanse

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The study concentrates on the comparison of hedge fund efficiency measured by maximum drawdown measures with traditional risk/return ratios. The examined period is from 1990 to 2011 and the data were provided by Hedge Fund Research. It is a continuation of the research done for a shorter period, that is for the years 2005 -2011. The results obtained there were interesting and showed that the results of complex efficiency measures aren't much different from traditional measures. It posed the question of whether it is worth applying them with their entire complexity. The author wants to check if the same conclusions will be drawn for a longer period. After having analyzed maximum drawdown measures, further research will be devoted to other groups of measures. It should give the answer to the question of whether complex efficiency measures are as useful as it is often stressed in the hedge fund literature.

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Zastosowanie miar maksymalnej straty na kapitale w badaniu efektywności funduszy hedgingowych

Cited by 4 publications

References 7 publications

Comparison of Investment Performance Measures Using the Example of Selected Stock Exchanges

Comparison of Investment Performance Measures Using the Example of Selected Stock Exchanges

Traditional Versus Alternative Risk Measures in Hedge Fund Investment Efficiency

Maximum Drawdown Measures in Hedge Fund Efficiency Appraisal

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