Abstract
Abstract Traditionally, models developed by Treynor and Mazuy (T-M) and also by Henriksson-Merton (H-M), which are called market-timing models, are applied to assess effectiveness of investment funds. The objective of the presented study is an application of the T-M and H-M models and their T-M-FF and H-M-FF modifications with additional Fama-French factors to assess effectiveness and risk of equity insurance connected with unit-linked insurance. Estimation and verification of the models for the subject group of equity funds were performed and the significance of the impact of particular factors on returns on reference portfolios was discussed.
Highlights
According to a classical capital asset pricing model (CAPM) the skill of managers described as microforecasting is assessed
30% of companies of the lowest index value within population were counted among the groups of companies with growth potential and created the Low (L) portfolio, 30% of companies of the greatest index value were counted among the groups of companies with value potential and created the High (H) portfolio, the remaining 40% of companies landed in the Medium (M) portfolio
Within the group of share funds, only in one fund of the greatest risk a significant but negative value of coefficient was observed, which means that the manager of this fund randomly allocates the funds into instruments offered on the market
Summary
According to a classical capital asset pricing model (CAPM) the skill of managers described as microforecasting is assessed. The introduction of additional variables, the socalled Fama-French factors (Fama, French, 1996), was proposed as far as classical market-timing models are concerned The task of such variables was to explain the part of inaccurate indications in a classical capital asset pricing model arising from the property of fundamental companies. The application of classical and hybrid multifactorial market-timing models to assess the risk and effectiveness of unit-linked insurance (UFK) are proposed in the thesis Their utility was verified and it was investigated whether managers of unitlinked insurance in Poland possess skills within the scope of: forecasting of price changes of single assets, that is selectivity of securities, forecasting of changes in the market globally, that is, changes of a market factor (application of market-timing techniques). It was demonstrated that market-timing models may constitute a new and supportive tool allowing the insured to make a proper decision concerning investment strategy of resources into specific capital funds
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