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  1. 1 Przegląd Statystyczny

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  1. 1 Salamaga M.

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  1. 1 2007

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FORECASTING OF RANKING THE MUTUAL FUNDS SUMMARY

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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.
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