Record Details

Evaluation of Investment Strategies

Journal of Insurance and Financial Management

View Archive Info
 
 
Field Value
 
Title Evaluation of Investment Strategies
 
Creator Vilcek, Igor
 
Description The paper is focused on an ex-post investment performance analysis. Firstly, we create a suite of return, risk, return to risk and benchmark related measures with immediate real life applications in mind. We define and describe these measures and provide real data examples where appropriate. Secondly, we take a look at common mistakes performed by practitioners. For each measure, we assess potential misuses and potential misinterpretations of conclusions resulting from them. We also include the visual analysis. Moreover, we analyze advantages and disadvantages of specific measures and show how to use them appropriately. We furthermore stress that it is necessary to evaluate measures in conjunction with each other. We complement the analysis by brief discussion of non-quantifiable, more qualitative, criteria. Lastly, in the practical section, we apply all performance measures and discussed principles in evaluation of the ten years of historical data of the Slovak equity pension funds in the funded pillar.
 
Publisher Journal of Insurance and Financial Management
 
Contributor —
 
Date 2017-07-07
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://journal-of-insurance-and-financial-management.com/index.php/JIFM/article/view/79
 
Source Journal of Insurance and Financial Management; Vol 3, No 2 (2017): Journal of Insurance and Financial Management
2371-2112
 
Language eng
 
Relation https://journal-of-insurance-and-financial-management.com/index.php/JIFM/article/view/79/pdf
https://journal-of-insurance-and-financial-management.com/index.php/JIFM/article/downloadSuppFile/79/2
 
Rights Copyright (c) 2017 Igor Vilcek
http://creativecommons.org/licenses/by/4.0