The use of Hellwig's method in the construction of an econometric model for the rate of return from investment funds

Abstract

This paper presents the research about the influence of efficiency measures for investment funds on their expected rate of return. The most effective measure for assessing the attractiveness of the financial instrument has been chosen. It was also suggested an econometric model that allows the prediction of an important variable which is the rate of return from investment funds. In both cases, the standard econometric methods are used in enriching them with Hellwig's method also called the method of capacity information indicators. There have been attempts to verify the usefulness of this method against standard methods in the selection of specific variables to the econometric model. In the paper there are selected the results of measurement that describe the investment funds. The period of 2009-12 is deliberately selected as the period of the first wave of the global financial crisis, which has also had an impact on the financial market in Poland.