Wyniki wyszukiwania - Biblioteka Nauki

1

Measuring of the Yield and Risk of Emerging Markets and Developed Stock Markets

100%

Radim G.

Littera Scripta

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2013

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tom 1

30-39

EN

Financial analysts have recently paid more attention to so-called emerging markets that are slowly reaching the level of developed stock markets. The objective of this paper is to evaluate the level of yields and risk attributed to developed stock markets (USA, United Kingdom and Germany) and to emerging markets (Brazil is South America, Mexico in Central America, Hong Kong in Asia and Australia). These levels are set separately for the periods from 30 September 2004 to 30 September 2008 and from 30 September 2008 to 30 September 2012. The author compares the changes in levels between both periods and also development of the level of yields and risk within whole period of 12 months periodicity. The macroeconomic situation of these countries during selected period is monitored by means of GDP growth. The values of the stock indices are taken from major stock exchanges in these countries and bond yields are also used. Different standard deviations from the yield of the stock index, variation coefficients and Sharpe ratios are calculated. The author investigates to what extent it is true that higher yields can be achieved on emerging markets, but at the expense of a higher risk than on developed stock markets. Based on founded results it is clear that higher yields can be achieved on emerging markets at the expense of higher risk than on developed ones, but not in every case.

2

The profitability of Japanese yen carry trades

100%

Czech K.

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

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2017

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nr 486

245-253

EN

The aim of the paper is to examine the profitability of Japanese yen carry trade strategies. It has been shown that for the sample of 11 years, annualized excess return of carry trade strategies are positive. Estimated average excess returns, Sharpe ratio and Calmar ratio turn out to reach the levels similar to those reported by other researchers. Moreover, the paper reports that estimated excess returns and Sharpe, Calmar ratios are high and positive during the period from 01.2006 to 07.2007 and negative during the time of high financial turbulence. Additionally, during the time of turbulence in financial markets, when carry trade performs poorly, low-yielding currencies tends to appreciate against high-yielding currencies. It implies that Japanese yen, as an example of the most popular funding currency, may provide a hedge during unstable times of high price volatility in financial market.

3

The prospective low risk hedge fund capital allocation line model: evidence from the debt market

100%

Vukovic D. B. , Prosin V.

Oeconomia Copernicana

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2018

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tom 9

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nr 3

419-439

EN

Research background: Institutional investors such as: commercial banks, pension funds, and insurance companies are constantly looking for low-risk stable investment opportunities, whereas one of the solutions can be a simulated portfolio. This research takes a look at the incentive to invest in government debt portfolios, as it can outperform the returns of deposit accounts. Purpose of the article: This study considers several classic methods of portfolio constriction and includes the basis of debt instruments that have not been a research topic for a long period of time. At the same time, this paper analyzes the classic methods of modern portfolio theory with a Sharpe ratio as an indicator of efficiency. Methods: The constructed portfolio consists of four elements from different countries: two government obligations and two bond indexes, aiming to employ international diversification. All the data was collected for the period of 12 years in order to represent the consequences of accrued recessions. Findings & Value added: The past two severe financial crises created a higher demand for stable investments, and more investors are ready to compromise a higher return for it. Therefore, the results of this paper represent a simulation of low-risk hedge fund portfolio construction with the use of highly rated debt instruments.

4

The use of the bootstrap method for the assessment of investment effectiveness and risk – the case of confidence intervals estimation for the Sharpe ratio and TailVaR

100%

Jarno K. , Smaga Ł.

Journal of Banking and Financial Economics

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2020

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nr 1(13)

40-50

EN

This paper is aimed at presenting application of bootstrap interval estimation methods to the assessment of financial investment’s effectiveness and risk. At first, we give an overview of various methods of bootstrap confidence interval estimation, i.e. bootstrap-t interval, percentile interval and BCa interval. Then, bootstrap confidence interval estimation methods are used to estimate confidence intervals for the Sharpe ratio and TailVaR of the Warsaw Stock Exchange sectoral indices. The results show that the bootstrap confidence intervals of different types are quite similarly positioned for each of the analysed index and measure. Taking into the account the locations of confidence intervals for both the Sharpe ratio and TailVaR, the real estate sector tends to be the most advantageous from the investor’s viewpoint.

5

Does it pay to be good? An analysis of vice and virtue stock performance in the Eurozone

86%

Vide T.

Faculty of Management Working Paper Series

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2016

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nr WPS 1/2016

1-18

EN

This paper provides a performance analysis of vice and virtue stocks in the Eurozone for the period between January 2005 and December 2014. In order to do so, a vice index is created consisting out of listed Eurozone companies, operating in selected vice industries and is subsequently matched with a corresponding virtue index, which for the purpose of this analysis is represented by the DJSI Eurzone. The tools used to conduct the performance evaluation are the Sharpe ratio, the Capital asset pricing model and the Carhart’s four-factor model. The analysis indicates, no consistent out- or under- performance of one or the other index, yet the realized performance over the whole period favours the vice index. Consequently one can conclude, that from a statistical point of view, there is no substantial advantage or disadvantage in being “good” when investing into stocks, as such it is a matter of investor preference, with the note that historical returns do favour vice stocks.

6

Does it pay to be good? An analysis of vice and virtue stock performance in the Eurozone

86%

Vide T.

Journal of Banking and Financial Economics

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2016

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nr 2(6)

113-125

EN

This paper provides a performance analysis of vice and virtue stocks in the Eurozone for the period between January 2005 and December 2014. In order to do so, a vice index consisting of listed Eurozone companies operating in selected vice industries is created and subsequently matched with a corresponding virtue index, which for the purpose of this analysis is represented by the DJSI Eurozone. The tools used to conduct the performance evaluation are the Sharpe ratio, the capital asset pricing model and the Carhart four-factor model. The analysis indicates no consistent outperformance or underperformance of one or the other index, yet the realised performance over the whole period favours the vice index. Consequently, it can be concluded that from a statistical point of view, there is no substantial advantage or disadvantage in being “good” when investing into stocks, as such it is a matter of investor preference, with the note that historical returns do favour vice stocks.

7

Korelacja wskaźnika Sharpe’a z miarami będącymi jego uogólnieniem dla funduszy akcyjnych w latach 2004–2015

72%

Żebrowska-Suchodolska D.

Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia

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2017

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tom 51

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nr 6

EN

The work compares the results obtained with the Sharpe ratio and the selected measures based on this indicator and examines the relationship between them. MAD, DS, ASR, WS and M2 were selected for the study. They were designated for 16 equity funds in the period 2004–2015, which were divided into shorter subperiods (2, 3, 4 and 5 years). The results show a strong correlation of the Sharpe ratio with the MAD, DS, ASR, and M2 ratios and lack of correlation with the WS ratio.

PL

W pracy porównano wyniki otrzymane przy użyciu wskaźnika Sharpe’a i wybranych miar opartych na tym wskaźniku oraz zbadano zależność występującą między nimi. Do badań wybrano wskaźniki: MAD, DS, ASR, WS i M2. Zostały one wyznaczone dla 16 funduszy akcyjnych w okresie 2004–2015, który podzielono na krótsze podokresy (2-, 3-, 4- i 5-letnie). Otrzymane wyniki wskazują na silną korelację wskaźnika Sharpe’a ze wskaźnikami MAD, DS, ASR, M2 oraz jej brak w przypadku wskaźnika WS.

8

Research on metal fatigue of rail vehicle wheel considering the wear intensity of rolling surface

58%

Vaičiūnas G. , Bureika G. , Steišūnas S.

Eksploatacja i Niezawodność

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2018

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tom Vol. 20, no. 1

24--29

EN

The article overviews scientific research studies that examine the interaction between railway vehicle wheel and rail, and the phenomena of wear on wheel rolling surface. Unique experimental research has been conducted, in which regularity of weariness on rolling surface of exploitable locomotive wheel and phenomena of metal fatigue on wheel were researched. A hypothesis is made, that according to the differences in weariness intensity of wheel rolling surface it is possible to determine the start of metal fatigue. The inequality of wear intensity of different locomotive wheels is assessed by the Sharpe ratio, adapting it to describe the wheel wear intensity criteria. Based on the results of research, the authors propose a simplified and reliable methodology for determining metal fatigue on locomotive wheels at initial stages. The uneven wear on rolling surface of different wheels of wheelset inevitably changes the values of Sharpe ratio, which can accurately describe the conditions in which the critical metal fatigue on wheels begins to emerge.

PL

W artykule omówiono badania naukowe dotyczące wzajemnych oddziaływań między kołem pojazdu szynowego a szyną oraz zjawiska zużycia powierzchni tocznej kół. Przeprowadzono nowatorskie badania eksperymentalne, w których zbadano prawidłowości dotyczące zużywania się powierzchni tocznej eksploatowanego koła lokomotywy oraz zjawisko zmęczenia metalu koła. Założono hipotezę, że na podstawie różnic w intensywności zużycia powierzchni tocznej kół można określić początek procesu zmęczenia metalu. Różnice w intensywności zużycia różnych kół lokomotywy oceniano na podstawie współczynnika Sharpe'a, dostosowując go do opisu kryteriów intensywności zużycia kół. Na podstawie wyników badań autorzy zaproponowali uproszczoną, rzetelną metodologię określania zmęczenia metalu kół lokomotywy na początkowym etapie tego procesu. Nierównomierne zużycie powierzchni tocznej różnych kół zestawu kołowego zmienia wartości współczynnika Sharpe'a, które można wykorzystać do precyzyjnego opisu warunków, w jakich dochodzi do krytycznego zmęczenia metalu kół.

9

Ocena efektywności lokowania kapitału w akcje polskiego sektora TSL w odniesieniu do wyników giełd światowych

51%

Skrodzka W.

Logistyka

|

2015

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tom nr 6

430--434, CD

PL

Celem artykułu jest ocena efektywności inwestycji w akcje czołowych polskich spółek branży TSL W porównaniu uwzględniono oczekiwany dochód skorygowany o ryzyko towarzyszące przeprowadzonym transakcjom. W ocenie dochodu i ryzyka inwestycyjnego poszczególnych spółek wykorzystano miary rentowności oparte na modelu wyceny aktywów kapitałowych - CAPM. Przeprowadzona analiza polegała na statystycznej weryfikacji jakości zarządzania aktywami za pomocą takich miar jak, stopa zwrotu, Alfa Jensena, wskaźnik Sharpe'a, Alfa Sharpe'a, wskaźnik Treynora, wskaźnik Modigliani & Modigliani oraz wskaźnik informacyjny na tle wybranych, światowych indeksów giełdowych. Przedstawiona ocena efektywności wyników inwestycji ma ułatwić podejmowanie decyzji dotyczących wyboru portfela inwestycyjnego wśród akcji sektora TSL.

EN

This article aims to evaluate the effectiveness of investments in the shares of leading Polish companies of the TSL sector. The analysis takes into account the expected income adjusted for the risks associated with the conducted transactions. In the assessment of income and investment risk of individual companies the measures of profitability based on the capital asset pricing model-CAMP are used. The analysis was based on statistical verification of the quality of the asset management by means of such measures as the rates of return, Jensen's alpha, Sharpe ratio, Sharpe alpha, Treynor ratio, Modigliani & Modigliani ratio, Information Ratio against background of selected global stock indexes. The assessment of the effectiveness of project performance is to facilitate decisions concerning the choice of the investment portfolio of the shares of the TSL sector.