Household investment performance evaluation on the example of mutual funds

Radosław Pietrzyk

Abstract


The main purpose of this article is a theoretical discussion about the performance evaluation from the point of view of households, because the presented method takes risk aversion into account. House- holds, characterized by an increasing and concave utility function, expect a non-linear increase of the expected rate of return in exchange for the extra risk taken. It is important to find a performance measure that takes into account household indifference curves. For example, it might be the Generalized Sharpe Ratio or a measure modifying the traditional beta of CAPM so that it incorporates investor's utility function. This paper presents possibilities of its applications by the example of Polish mutual funds.

Full Text:

PDF (Język Polski)

References


Cogneau P., Hubner G., 2009, The (more than) 100 Ways to Measure Portfolio Performance. Part 1: Standardized Risk-Adjusted Measures, "The Journal of Performance Measurement", vol. 13, no. 4, 56-71.

Cogneau, P., Hubner, G., 2009, The (more than) 100 Ways to Measure Portfolio Performance. Part 2: Special Measures and Comparison, "The Journal of Performance Measurement", vol. 14, no. 1, 56-69.

Feldman, L., Pietrzyk, R., Rokita, P., 2014, A Practical Method of Determining longevity and Premature-Death Risk Aversion in Households and Some Proposals of Its Application, [in:] Data Analysis, Machine learning and Knowledge Discovery, Springer International Publishing, 255-264.

Henriksson R.D., Merton R.C., 1981, On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills, "The Journal of Business", 54, 513-533.

Hodges, S., 1998, A Generalization of the Sharpe Ratio and its Applications to Valuation Bounds and Risk Measures, Financial Operations Research Center, 98/88, University of Warwick.

Kaplan P.D., 2005, A Unified Approach to Risk-Adjusted Performance, Working Paper, Morning- star Inc.

Leland H.E., 1999, Beyond Mean-Variance: Performance Measurement in a Nonsymmetrical World, "Financial Analysts Journal", vol. 55, no. 1, 27-36.

NBP, 2013, Rozwój systemu finansowego w Polsce w 2012 r., P. Sobolewski, D. Tymoczko (red.), Warszawa.

Pezier J.P., 2008, Maximum Certain Equivalent Excess Returns and Equivalent Preference Criteria, Working Paper.

Pietrzyk R., 2012, Ocena efektywności inwestycji funduszy inwestycyjnych z tytułu doboru papierów wartościowych i umiejętności wykorzystania trendów rynkowych, [w:] Taksonomia 19, Klasyfikacja i analiza danych - teoria i praktyka, K. Jajuga, M. Walesiak (red.), Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu nr 242, 291-305.

Sharpe W.F., 1966, Mutual Fund Performance, "The Journal of Business", vol. 39, no. 1, part 2, 119-138.

Sharpe, W.F., 1994, The Sharpe Ratio, "The Journal of Portfolio Management" 21, 49-59.

Stutzer M., 2000, A Portfolio Performance Index, "Financial Analysts Journal", vol. 56, no. 3, 52-61.

Treynor J.L., 1965, How to Rate Management of Investment Funds, "Harvard Business Review", vol. 44, no. 1, 63-75.

Treynor J.L., Mazuy K., 1966, Can Mutual Funds Outguess the Market?, "Harvard Business Review" 44, 131-136.




DOI: http://dx.doi.org/10.17951/h.2014.48.3.263
Date of publication: 2015-05-23 19:36:31
Date of submission: 2015-05-23 11:59:39


Statistics


Total abstract view - 461
Downloads (from 2020-06-17) - PDF (Język Polski) - 0

Indicators



Refbacks

  • There are currently no refbacks.


Copyright (c) 2015 Radosław Pietrzyk

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.