PORTFOLIO PERFORMANCE MEASUREMENT BASED ON THE MULTIHORIZON SHARPE RATIO - WAVELET ANALYSIS APPROACH

• Authors: Anna Zamojska
• Languages of publication: EN

Abstracts

EN

The aim of the study is to evaluate and compare the performance of mutual funds. The proposed approach evaluates the effectiveness of the fund's investment strategy in terms of the investment horizon. As a tool wavelet analysis that has been applied to the decomposition of the excess returns of funds for the six scales was used. The Sharpe ratios calculated on the basis of the so-transformed series formed the basis for the arrangement of funds. The results indicate that the variance of rate of return in the analyzed funds decline as the wavelet scale increases.

Keywords

EN

wavelet analysis; multihorizon Sharpe ratio; investment horizon

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2014
• Volume: 15
• Issue: 1
• Pages: 209-217

Dates

published

2014

Contributors

author

Anna Zamojska

• Department of Econometrics, University of Gdańsk

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