assets held for sale, disinvestment, agriculture, fair value, Altman model
Autor (i): Ioana Pop-Radu, Mircea-Iosif Rus
JEL: E22, G23, O11.
Cuvinte cheie: investment market, financial instruments, volatility, risk, performance
Abstract:
The study was developed in evaluating the performance of Romanian mutual funds highlighting the results of several selected key indicators. A comparative analysis was developed in order to define the benefits and risks assumed by these investment vehicles beside other available investment alternatives on the Romanian market within the last 8 years’ horizon from 2007 to 2014. The aim of our research is to examine the classical rates performance measurement (Sharpe, Treynor and Jensen) and to get an overview of the hierarchy based over the domestic mutual funds market. In determining these rates, it was necessary to obtain coefficients of correlation and volatility, including standard deviation for each category of the mutual funds - equity funds, diversified funds and funds bond. We exclude from the analysis the money market funds as their yield is folded in relation to the exposure of monetary instruments included in the portfolio and which confers a relative stability.
The study was developed in evaluating the performance of Romanian mutual funds highlighting the results of several selected key indicators. A comparative analysis was developed in order to define the benefits and risks assumed by these investment vehicles beside other available investment alternatives on the Romanian market within the last 8 years’ horizon from 2007 to 2014. The aim of our research is to examine the classical rates performance measurement (Sharpe, Treynor and Jensen) and to get an overview of the hierarchy based over the domestic mutual funds market. In determining these rates, it was necessary to obtain coefficients of correlation and volatility, including standard deviation for each category of the mutual funds - equity funds, diversified funds and funds bond. We exclude from the analysis the money market funds as their yield is folded in relation to the exposure of monetary instruments included in the portfolio and which confers a relative stability.
Articol: Fisier PDF
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