Finanse, Rynki Finansowe, Ubezpieczenia

Previously: Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia

ISSN: 2450-7741     eISSN: 2300-4460    OAI    DOI: 10.18276/frfu.2017.86-13
CC BY-SA   Open Access 

Issue archive / 2/2017 (86)
Miara VaR w ocenie odpowiedniości funduszu inwestycyjnego dla inwestora indywidualnego

Authors: Iwona Dittmann
Uniwersytet Ekonomiczny we Wrocławiu
Keywords: Value-at-Risk safety level suitability assesment mutual funds personal finance
Year of publication:2017
Page range:14 (159-172)
Cited-by (Crossref) ?:


Purpose – Demonstration of the validity and applicability of VaR in assessing the suitability of an investment fund for the individual investor. Design/Methodology/approach – On the basis of daily trading units of stable growth funds, balanced funds and equity funds in the years 2005-2016 there have been constructed empirical distributions of returns. The study was conducted for different investment horizons (from 1 year to 10 years). It examined the diversity of funds due to the values of 5. percentiles of distributions of rates of return. Findings – It was found that: 1) depending on the chosen measure of diversity and the the threshold value studied group of funds can be characterized by significant or insignificant for the investor diversity of funds in terms of values of 5. percentiles; 2) the worst of stable growth funds are more similar in terms of value of 5 percentiles to the best balanced funds than to the best of stable growth funds; 3) the worst of balanced funds are closer in value of 5 percentiles to the best equity funds than to the best balanced funds; 4) it is not true that the 5. percentile of each stable growth fund is higher than the 5. percentile of each balanced fund; 5) it is not true that the 5. percentile of each balanced fund is higher than the 5. percentile of each equity fund. Originality/value – It was found that selecting a fund using the VaR criterion, it is worth assess the individual funds of the group (not - the average for the group) and funds from "adjacent" risk groups.
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