Miernik Omega jako wszechstronna miara efektywności inwestycji

• Authors: Maciej Pichura

Title variants

EN

Omega Meter As a Comprehensive Measure of Investment Efficiency

• Languages of publication: PL

Abstracts

EN

This paper presents the Omega meter - quite new tool to measure investment efficiency and risk. One of its major advantages is the independence from the assumptions made regarding the distribution of investment returns being analysed. It also allows for comparison of investment efficiency and riskiness of different assets. The article focuses on the essential characteristics of the meter and the presents methods for its point estimation. An empirical comparison with other risk adjusted measures of investment efficiency was made. The comparison was performed on investment funds of different categories. Omega meter in some cases allows to obtain more valuable information than the other regarded measures of investment efficiency. However, empirical research shows that efficiency measurement results are not much different when using Omega and Sortino ratio.

Keywords

PL

Efektywność inwestycji; Fundusze inwestycyjne; Inwestycje kapitałowe; Mierniki efektywności

EN

Capital investments; Effectiveness indicators; Efficiency of investment; Investment funds

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2013
• Volume: 146
• Pages: 89-99

Contributors

author

Maciej Pichura

References

• Cascon A., Keating C., Shadwick W.F., The Omega Function, Working Paper, Finance Development Centre, London 2003 (dostępne pod adresem internetowym http://www.performance-measurement.org/CasconKeatingShadwick2003.pdf).
• Kazemi H., Schneeweis T., Gupta R., Omega as a Performance Measure, "Journal of Performance Measurement" 2004, 8 (3), s. 16-25.
• Keating C., Shadwick W.F., A Universal Performance Measure, "Journal of Performance Measurement" 2002, 6 (3), s. 59-84.
• Le Sourd V., Performance Measurement for Traditional Investment. Literature Survey, EDHEC, Lille-Nice 2007.
• Schmid F., Schmid R., Statistical Inference for Performance Measure Omega, Working Paper, University of Cologne (dostępne pod adresem internetowym http://schader.bwl.unimannheim.de/fileadmin/files/vorlesungen/cdsb/Schmid_St atistical_Inference_for_Performance_Measure_Omega.pdf).
• Shadwick W.F., The Sortino Ratio and Darsinos and Satchell's 'Generalised Sharpe Ratios' Fail the Lottery Test, Working Paper, Finance Development Centre, London 2004 (dostępne pod adresem internetowym http://www.edgefund.com/Shadwick2004.pdf).
• Sharpe W.F., The Sharpe Ratio, "The Journal of Portfolio Management" 1994, New York.

Identifiers

ISSN

2083-8611