The Inversion Test of the Investment Funds Efficiency Measures

  • Agnieszka Bukietyńska
  • Mariusz Czekała
  • Zofia Wilimowska
  • Marek Wilimowski
Conference paper
Part of the Advances in Intelligent Systems and Computing book series (AISC, volume 657)

Abstract

The purpose of this article is to present the use of the inverse test in investment funds based on historical data. Kendall’s coefficient is the known factor used to test rank correlations. As a measure of dependency is used at any sample size. Its distribution (except asymptotic distribution) is rarely used because of the rather difficult analytical form of the statistics used to test the hypotheses. This work will use the inversion test, which is a variant of the test based on correlation Kendall rank. In the case of a moderate sample, it is more convenient to consider the amount of inversion. It is equal to the number of incompatible pairs (in the sense described below) for variables with a continuous distribution (binding pairs are not possible). It turns out that the language of inversion is often more comfortable. This is particularly noticeable in case of second type error analysis. In the paper are presented the results of the test of the Sharpe and Treynor measures ability for investment rate of return prediction of Polish investment funds.

Keywords

Investment funds Inversion test Efficiency Predictability 

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Copyright information

© Springer International Publishing AG 2018

Authors and Affiliations

  • Agnieszka Bukietyńska
    • 1
  • Mariusz Czekała
    • 1
  • Zofia Wilimowska
    • 2
  • Marek Wilimowski
    • 2
  1. 1.Higher School of BankingWrocławPoland
  2. 2.University of Applied Sciences in NysaNysaPoland

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