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4 Optimum. Studia Ekonomiczne

4 Olbrys J.

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SELECTED MULTIFACTOR MARKET-TIMING MODELS FOR MUTUAL FUND PERFORMANCE EVALUATION (Ocena efektywnosci zarzadzania portfelem funduszu inwestycyjnego z wykorzystaniem wybranych wieloczynnikowych modeli market timing)

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Olbrys J.

Optimum. Studia Ekonomiczne

2010

nr 4 (48)

44-61

The aim of this paper is to compare modified multifactor market-timing models: the three factor model with the Fama and French spread variables SMB and HML, and the hybrid four-factor model with the additional factor that proxies for the monthly payoffs of a successful market timer. We examined the market-timing and selectivity abilities of selected 15 Polish equity open end mutual funds' managers using daily and monthly data from January 2003 to December 2009.

ANALYSIS OF INVESTMENT FUND'S PORTFOLIO AGGRESSIVENESS USING ESTIMATOR OF RISK-TOLERANCE COEFFICIENT (Zastosowanie wskaznika tolerancji ryzyka do oceny poziomu agresywnosci portfela funduszu inwestycyjnego)

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Olbrys J.

Optimum. Studia Ekonomiczne

2010

nr 1(45)

60-72

The aim of this paper is an analysis of an investment fund's portfolio structure utilizing fund's risk-tolerance coefficient, which is the reciprocal of the Arrow - Pratt measure of absolute risk aversion. The risk-tolerance coefficient indicates the fund manager's willingness to accept greater risk in order of their aggressiveness. We examined the aggressiveness of selected 15 equity open-end mutual funds using daily and monthly data from January 2003 to January 2009.

RELATIVE RISK MEASURES OF POLISH EQUITY OPEN-END MUTUAL FUNDS' PORTFOLIOS IN A BEAR MARKET PERIOD

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Olbrys J.

Optimum. Studia Ekonomiczne

2009

nr 3(43)

134-151

Value-at-Risk (VaR ) has become a standard risk measure for financial risk management due to its conceptual simplicity, ease of computation and ready applicability. Nevertheless, VaR has been criticised for having several conceptual problems (Yamai & Yoshiba, 2005): - VaR measures only percentiles of profit/loss distributions and disregards any loss beyond the VaR level (this is the 'tail risk' problem), - VaR is not coherent, since it is not subadditive. To remedy the above problems, Artzner et al. (1997) have proposed the use of Expected Shortfall (ES) which is defined as the conditional expectation of loss for losses beyond the VaR level. ES is also demonstrated to be subadditive, which assures its coherence as a risk measure. The aim of this paper is a comparative analysis of selected Polish equity open-end mutual funds' portfolios using the estimators of risk measures Value-at-Risk and Expected Shortfall. The authoress focuses on the application of relative return - VaR(gamma VaR) and return - ES(gamma ES) measures to give examples of risk estimation in a bear market period using daily data from July 4, 2007 to February 17, 2009. The overall WIG index fell from 66951.73 (July 4, 2007) to 21274.28 (Feb 17, 2009). It lost 68.22% during the period investigated. Relative risk measures can be used to rank the investment funds in order of their risk exposure, particularly during a bear market period.

NONSYNCHRONOUS TRADING PROBLEM ON THE WARSAW STOCK EXCHANGE (Diagnoza problemu niesynchronicznych transakcji na GPW w Warszawie)

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Olbrys J.

Optimum. Studia Ekonomiczne

2011

nr 3(51)

114-126

The problem of so called nonsynchronous trading, significant for, among other things, efficient investment portfolio management, was investigated in The Econometrics of Financial Markets [Campbell, Lo, MacKinlay 1997]. The nontrading effect arises when time series are taken to be recorded at time intervals of one length when in fact they are recorded at time intervals of other, possibly irregular, lengths. In particular, the nontrading effect induces potentially serious biases in the moments and co-moments of asset returns such as their means, variances, covariances, betas, and autocorrelation and cross-autocorrelation coefficients. Some researchers show that the nonsynchronous security trading will induce spurious auto- and cross-correlations into individual-security and market-index returns. The main goal of this paper is an empirical analysis of nonsynchronous data effects on the Warsaw Stock Exchange, which, to the author's knowledge, have not been investigated yet. The author uses daily logarithmic returns for the period January 2003 - June 2010.