scholarly journals Rates of Return on Open-End Debt Investment Funds and Bank Deposits in Poland in the Years 1995–2015 – A Comparative Analysis

2016 ◽  
Vol 16 (1) ◽  
pp. 93-112
Author(s):  
Iwona Dittmann
Keyword(s):  
Comparative Analysis ◽  
Interest Rates ◽  
Bond Market ◽  
Investment Horizon ◽  
Moving Window ◽  
Rates Of Return ◽  
Investment Funds ◽  
Empirical Distributions ◽  
Bank Deposits ◽  
Very High

Abstract This paper presents the results of a comparison of the rates of return on specific open-end debt investment funds in Poland with the rates of return on bank deposits, in light of different time horizons. A comparative analysis was conducted based on the quartiles of the empirical distributions of the rates of return on selected funds and bank deposits. The empirical distributions were obtained using a moving window of observation. The results were largely influenced by very high interest rates on bank deposits in Poland in the years 1995–2001 (in the case of the oldest funds), and by the boom in the bond market in the years 2011–2012 (for the youngest funds). The investment horizon turned out to be significant. The best and worst funds were identified.

scholarly journals Rates of Return on Shares of Real Estate Development Companies in Poland in the Years 2001-2015. A Comparative Analysis

2016 ◽  
Vol 24 (4) ◽  
pp. 23-34
Author(s):  
Iwona Dittmann
Keyword(s):  
Comparative Analysis ◽  
Real Estate ◽  
Stock Exchange ◽  
Real Estate Development ◽  
Investment Horizon ◽  
Rates Of Return ◽  
Empirical Distributions ◽  
Rolling Window ◽  
Warsaw Stock Exchange

Abstract The paper presents an analysis of the diversity of real estate development companies listed on the Warsaw Stock Exchange based on the rates of return on their shares which were attained in 2001-2015. The study included 10 real estate development companies. The analysis was conducted for different investment horizons (from 1 year to 10 years), and based on the quartiles of the empirical distributions of the rates of return on the shares of individual companies. The empirical distributions were obtained using a rolling window of observation based on daily share quotation. The diversity of the funds was examined by formulating six hypotheses concerning: the diversity of the quartiles of the distributions of returns on individual funds, the differences between the values of the quartiles of returns for the best and worst companies during each investment horizon, changes in the value of individual quartiles of returns for individual companies along with a lengthening of the investment horizon, differences in the positions of the companies in the rankings of companies based on different investment horizons and having different quartiles being accepted as the criterion for the rankings. The results obtained did not indicate grounds for the rejection of the formulated hypotheses.

scholarly journals Note to “Rates of Return on Open-End Debt Investment Funds and Bank Deposits in Poland in the years 1995–2015 – A Comparative Analysis” Folia Oeconomica Stetinensia 16 (1), (2016), 93–112

2016 ◽  
Vol 16 (2) ◽  
pp. 250-254
Author(s):  
Krzysztof Piasecki
Keyword(s):  
Comparative Analysis ◽  
Numerical Experiment ◽  
Correct Choice ◽  
Return Rate ◽  
Rates Of Return ◽  
Investment Funds ◽  
Bank Deposits ◽  
Theoretical Considerations

Abstract The main goal of this paper is a discussion on the correct choice of annualized return rate. Selected return rate should be appropriate for the multiannual comparative analysis of bank deposits and investment funds. The whole discussion was based on theoretical considerations and a numerical experiment.

scholarly journals CRYPTOCURRENCIES OR CAPITAL MARKETS. COMPARATIVE ANALYSIS OF INVESTMENT EFFICIENCY IN 2011-2020

2022 ◽  
Author(s):  
Sylwester Kozak ◽  
Seweryn Gajdek
Keyword(s):  
Comparative Analysis ◽  
Interest Rates ◽  
Capital Markets ◽  
The Other ◽  
Investment Efficiency ◽  
Rates Of Return ◽  
Global Capital ◽  
Low Interest Rates ◽  
Investment Tool ◽  
Global Financial System

Cryptocurrencies have become an important element of the global financial system and a frequent investment tool in the last decade. The aim of this paper is to compare the efficiency of investments in the cryptocurrency market with investments in global capital markets. The study used the quotations of the analyzed instruments in the years 2011-2020. The investment efficiency was estimated using Sharpe and Sortino ratios. Research has shown that investments in cryptocurrencies were the most effective. They brought, on average, the highest daily rates of return, but on the other hand, they were characterized by the highest risk. Such a result could have been significantly influenced by the widespread persistence of ultra-low interest rates and a decline in the attractiveness of debt securities. The best results were obtained for investments in bitcoin and ethereum, which have the largest share of cryptocurrency market capitalization.

scholarly journals Private pension funds: pragmatics and problems of activity in Ukraine

2021 ◽  
pp. 41
Author(s):  
Zoriana Matsuk
Keyword(s):  
Asset Management ◽  
Pension Fund ◽  
Pension System ◽  
General Structure ◽  
Pension Funds ◽  
Private Pension ◽  
Investment Horizon ◽  
Investment Funds ◽  
Bank Deposits ◽  
State Pension

Introduction. Nowadays, the pension system in Ukraine is being transformed, which necessitates analytical research on the activities of private pension funds, namely, open-ended, identifying problems of their activities and finding ways for further effective development.Methods. In the article author uses methods of analysis and synthesis, graphic research methods, economic and statistical methods for information collection and processing, in particular, sample surveys, groupings, statistical comparisons, trend analysis - in the process of evaluating the activities of private pension funds in Ukraine, and the method of logical generalization in formulating conclusions.Results. Author did an analytical assessment of indicators that characterize both the quantitative side of the activities of private pension funds in Ukraine and the qualitative side of their effectiveness in the domestic financial market. Attention is focused on the peculiarities of the structure of the portfolio of open non-state pension funds and it is concluded that the biggest quote (about 95%) in it belongs to cash on bank deposits and government securities. Author analyzed the indicators of profitability of the five most profitable open pension funds of Ukraine (according to the results of 2020) and their comparative characteristics, both in terms of the level of profitability and with the inflation rate. The tendency to decrease the profitability of investment portfolios during the analyzed period is noted. It was found that the structure of the portfolio of the most profitable open private pension funds is practically the same as the general structure of all pension funds of Ukraine. Discussion. Author proposed to form the portfolio structure of a private pension fund based on the characteristics of its depositors, and for the part of the portfolio with the largest investment horizon include risky instruments: direct investment funds, venture funds and real estate funds. This will allow using part of the pension savings as a long-term investment resource for the modernization of the domestic economy.Prospects for further research necessitate consideration of the main methods used in the process of selecting an asset management company, the administrator of a private pension fund, and assess the effectiveness of its asset management of private pension funds.

scholarly journals Degree of Convergence of the Efficiency of the Polish Equity Investment Funds Obtained with Measures Based on the Sharpe Ratio

e-Finanse ◽  
2017 ◽  
Vol 13 (3) ◽  
pp. 33-42
Author(s):  
Sylwester Kozak
Keyword(s):  
Interest Rates ◽  
High Efficiency ◽  
Sharpe Ratio ◽  
Risk Level ◽  
Investment Efficiency ◽  
Investment Funds ◽  
Bank Deposits ◽  
Efficiency Measures ◽  
Equity Funds ◽  
Degree Of Convergence

AbstractLong-term persistence of low interest rates and a decline in attractiveness of investing in low-interest bank deposits generate additional demand for investments in investment funds. In such a situation, it is expected to have widespread use of the investment efficiency measures which take into account not only return, but risk level. The study examines eight measures of efficiency based on the Sharpe ratio. The study uses monthly data for 22 active equity funds over the period 2005-2015. It was found that the majority of funds were more efficient than the market in periods of moderate economic growth and less effective in the period of strong growth on the capital market. The most efficient funds retain high efficiency in all phases of the economic cycle. The efficiency values obtained using indicators: Shape, Treynor, Jensen, Sortino, Omega, Sharpe-Israelsen and IR were strongly correlated, while values of the UPR indicator were significantly different from the other results.

scholarly journals The Efficiency of a Supplementary Old-Age Pension System – the Case of Polish Voluntary Pension Funds

e-Finanse ◽  
2019 ◽  
Vol 15 (3) ◽  
pp. 76-87
Author(s):  
Joanna Rutecka-Góra
Keyword(s):  
Interest Rates ◽  
Pension System ◽  
Pension Funds ◽  
Investment Efficiency ◽  
Investment Strategies ◽  
Rates Of Return ◽  
Investment Policies ◽  
Bank Deposits ◽  
Pension Saving ◽  
Investment Portfolios

AbstractThe aim of this article is to evaluate the effectiveness of voluntary pension savings plans in Poland, based on the principles of operation and rates of return of voluntary pension funds (pol. Dobrowolne Fundusze Emerytalne, DFE). The selection of those funds from a whole range of solutions available in the 3rd pension pillar is due to the fact that only this type of voluntary pension saving plan provides complete and transparent information about the actual investment policy, the composition of pension investment portfolios, and the achieved rates of return. In order to evaluate the investment policies and the effectiveness of DFEs, the following research methods were used: a literature analysis, an analysis of financial data, and basic methods of investment efficiency assessment. The results of the evaluation lead to the conclusion that despite their adoption of similar investment strategies, the DFEs have achieved very different values of effectiveness. In the years 2013-2018, selected funds achieved higher than average rates of return, while others achieved returns that were no better than the interest rates of standard bank deposits.

scholarly journals The recommendations of the De Kock Commission of Inquiry and its implications for foreign security investments by South African residents

1985 ◽  
Vol 16 (4) ◽  
pp. 204-208 ◽  
Author(s):  
N. Bhana
Keyword(s):  
South Africa ◽  
Interest Rates ◽  
South African ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Exchange Market ◽  
Rates Of Return ◽  
Local Exchange ◽  
International Portfolio Diversification ◽  
Exchange Control

South African investors have been precluded from investing in foreign securities by the Exchange Control Regulations of 1961. Furthermore, the monetary policy pursued by the authorities has resulted in an inefficient financial market. Investments on the capital market have not earned satisfactory real rates of return, and prices on the JSE appear to have been driven to artificial heights. The De Kock Commission of Inquiry has proposed several recommendations which will have far-reaching consequences for investors in South Africa. The proposal of market-related interest rates and the abolition of prescribed investments by institutional investors is likely to result in long-term securities earning substantially higher real rates of return. The relaxation of exchange control for both direct and portfolio investment is likely to stem the flow of funds into the JSE. Investment funds can be expected to flow between the JSE and the various foreign equity markets depending on the economic prospects in the different countries. The high foreign exchange cost and poor liquidity of the local exchange market has been an obstacle to investors in foreign securities. The creation of a larger and more efficient foreign exchange market is likely to facilitate international portfolio diversification in South Africa.

scholarly journals Treynor Ratio to Measure Islamic Stock Performance in Indonesia

2019 ◽  
Vol 8 (1) ◽  
pp. 1-13
Author(s):  
Mohammad Farhan Qudratullah
Keyword(s):  
Interest Rates ◽  
Stock Returns ◽  
Capital Market ◽  
The Other ◽  
Islamic Finance ◽  
Ratio Model ◽  
Stock Performance ◽  
Measurement Results ◽  
Domestic Products ◽  
Very High

Treynor Ratio merupakan model pioner inovatif ukuran kinerja saham yang dikemukakan Jack Treynor pada tahun 1965 yang terdiri atas 3 (tiga) komponen, yaitu return saham, return bebas risiko, dan beta saham. Banyak penelitian mendekati return bebas risiko dengan suku bunga termasuk saat mengukur kinerja saham syariah, sedangkan suku bunga dilarang dalam konsep keuangan islam. Tulisan ini membahas variabel alternatif untuk mendekati return bebas risiko selain dengan suku bunga (BI-Rate), yaitu dengan 4 (empat) pendekatan, yaitu: menghilangkan suku bunga, mengganti dengan zakat rate, mengganti dengan inflasi, dan mengganti dengan gross domestic produc (GDP) pada model Treynor Ratio yang diimplementasikan pada pasar modal syariah di Indonesia periode Januari 2011-Juli 2018. Hasil yang diperoleh adalah terdapat kesesuaian yang sangat tinggi hasil pengukuran model Treynor Ratio dengan suku bunga dengan keempat model lainnya. Namun, model-model tersebut tidak menjamin bahwa saham yang memilki kinerja terbaik pada saat ini akan memilki kinerja terbaik dimasa yang akan datang atau sebaliknya. Dilihat dari kedekatan hasil pengukuran kinerjanya, kelima model Treynor Ratio tersebut dapat dikelompokan jadi 2 (dua), yaitu model dengan suku bunga, model dengan inflasi, dan model dengan GDP sebagai kelompok pertama, sedangkan model tanpa suku bunga dan model dengan zakat-rate sebagai kelompok kedua. [Treynor Ratio is an innovative pioneer model the size of stock performance proposed by Jack Treynor in 1965 which consists of 3 (three) components, namely stock returns, risk free returns, and stock beta. Many studies approach risk-free returns with interest rates, including when measuring the performance of Islamic stocks, while interest rates are prohibited in the concept of Islamic finance. This paper discusses alternative variables to approach risk-free returns other than interest rates (BI-Rate), namely with 4 (four) approaches, namely: eliminating interest rates, changing zakat rates, changing inflation, and substituting gross domestic products (GDP) in the Treynor Ratio model that is implemented in the Islamic capital market in Indonesia for the period January 2011 - July 2018. The results obtained are very high conformity in the measurement results of the Treynor Ratio model with interest rates with the other four models. However, these models do not guarantee that stocks that have the best performance at this time will have the best performance in the future or vice versa. Judging from the closeness of the results of performance measurement, the five Treynor Ratio models can be grouped into 2 (two), namely models with interest rates, models with inflation, and models with GDP as the first group, while models without interest rates and models with zakat-rate as second group.]

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