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  1. 3 Przegląd Statystyczny

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  1. 1 2008

  2. 2 2007

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  1. 3 Salamaga M.

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1

FORECASTING OF RANKING THE MUTUAL FUNDS SUMMARY

100%
Salamaga M.
Przegląd Statystyczny
|
2007
|
vol. 54
|
issue 4
92-104
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.
2

AN APPLICATION OF PROBIT MODEL FOR THE MUTUAL FUNDS RANKING

100%
Salamaga M.
Przegląd Statystyczny
|
2007
|
vol. 54
|
issue 1
43-56
EN
Classifications of mutual funds are created often on the basis of kind of securities and other property law, which are object of investment of mutual fund. They do not always take into consideration results of efficiency measurements of mutual funds, investment strategies and value at risk. The author proposes to apply the probit model for ranking the mutual funds on the basis of experience in management assets, results of investment activity, investment risks and efficiency of portfolio management. Probabilities of negative rate of return for mutual funds have been calculated. They have been used for ordering the mutual funds
3

AN APPLICATION OF LOG-LINEAR ANALYSIS FOR FACTORS CHOICE DESCRIBING SOCIAL CONDITIONS OF HOUSEHOLDS

100%
Salamaga M.
Przegląd Statystyczny
|
2008
|
vol. 55
|
issue 4
40-51
EN
Various variables are used In the analysis of households' economic conditions: household income, expenses, savings, debts. The main purpose of the article is a selection of optimal factors which will descnbe economic conditions of households. In the analysis categorial factors are used and the log-linear model is proposed for choosing the best variables set. Log-linear analysis is a type of multi-way frequency analysis which better than other methods describe relationship between categorial variables. The effect of interaction among variables might be also taken into account. The data from the Polish General Social Survey, carried out by the Institute for Social Studies of Warsaw University, were used in calculations. The 2005 PGSS survey is based on a sample of 1270 accepted questionnaires.
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