FORECASTING OF RANKING THE MUTUAL FUNDS SUMMARY

• Authors: Salamaga M.
• Languages of publication: PL

Abstracts

EN

Classifications of mutual funds are created often on the basis of kind of securities and other property law, which are object of investement of mutual fund. They do not take into consideration results of measurements of efficiency of mutual funds always, investment strategies and value at risk. In the article the author proposed the application of ARIMA model for prediction of ranking the mutual funds on basis of market timing and selectivity performance of a sample of mutual funds. Measures of efectivity and market timing, such as the Sharpe ratio, Treynor ratio, Jensen's 'alpha', 'gamma' in Treynor-Mazuy model, 'beta' 2 in Henriksson-Merton model are aggregate. New aggregate variable is called by the author measurement of efficiency of mutual funds. Aggregate variable time series have been used for ordering the mutual funds and ARIMA model has been used for forecasting of ranking the mutual funds.

Keywords

EN

'ARIMA' MODEL; MUTUAL FUNDS RANKING FORECASTING

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Główny Urząd Statystyczny
• Journal: Przegląd Statystyczny
• Year: 2007
• Volume: 54
• Issue: 4
• Pages: 92-104
• Document type: ARTICLE

Contributors

author

Salamaga M.

• M. Salamaga, Uniwersytet Ekonomiczny w Krakowie, Katedra Statystyki, ul. Rakowicka 27, 31-510 Kraków, Poland

Identifiers

CEJSH db identifier

08PLAAAA03697447