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Do mutual fund performance and the abilities of fund managers in Slovenia deviate from those in developed markets?
Tanja Markovič-Hribernik, Uroš Vek, 2013, izvirni znanstveni članek

Opis: Up until the beginning of the financial crisis, Slovenia was marked by exceptionally high growth rates in the mutual fund industry. The reason for this were in the performance of the Slovenian stock market index, which was one of the best performing in 2007. In this paper we analyzed mutual funds performance in Slovenia to discover the quality of fund managers in the market. The focus was on funds with selected sectoral investment policy. We analyzed different risk adjusted measures such as the M2, the Treynor ratio, the Sortino ratio and the Information ratio using monthly log returns. We also studied selection ability of fund managers with Jensens alpha and timing ability using the Treynor-Mazuy model. We found out that the risk and return performance of mutual funds in Slovenia does not deviate from those in the developed markets and that we can not confirm the selection and market timing ability of fund managers.
Ključne besede: management, manager, vzajemni skladi, investicije, tveganje, meritve, matematična ekonomija, statistične metode, Slovenija
Objavljeno: 10.07.2015; Ogledov: 419; Prenosov: 39
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Pension funds, the requirement of providing the minimum guaranteed return and excessive legislative restrictions of pension fund investments
Tanja Markovič-Hribernik, Igor Jakopanec, 2012, izvirni znanstveni članek

Opis: To reduce the exposure of the pension fund's members to financial risks, legislation in Slovenia and some other countries promises a so-called minimum guaranteed return and at the same time hinders the portfolio diversification process of pension funds. We intend to demonstrate in this article, on a case study basis and using a combination of empirical data from two Slovenian pension funds and a hypothetical one, that by precisely matching the investments' characteristics to the characteristics of the pension fund's liabilities, some important financial risks can be mitigated, while others can even be hedged entirely. We also intend to demonstrate that with the implementation of a proper policy of risk measurement and management, complemented with stress testing practices, excessive legislative restrictions for investments are no longer necessary. Some restrictions can even hinder portfolio diversification and the risk management process.
Ključne besede: pokojninski skladi, donos, tveganje, primerjave, matematična ekonomija, statistične metode, Slovenija
Objavljeno: 10.07.2015; Ogledov: 541; Prenosov: 216
URL Povezava na celotno besedilo

Using canonical correlations in testing for common nonlinear components
Alenka Kavkler, Bernhard Böhm, 2006, izvirni znanstveni članek

Opis: The paper discusses the use of canonical correlations for modelling multiple equation systems with common nonlinear components of a smooth transition type.The coefficients in a smooth transition regression model are assumed to be nonlinear continuous functions of a properly chosen transition variable. The obtained model thus captures structural changes in the relationship between the observed economic variables. With the help of the canonical correlations technique a simple test for testing for common nonlinear components helps us interpret the relationships between different economic variables and also simplifies the specification and estimation of the equationsystem, since in this case a reduction in the dimension of nonlinear components is possible. It was shown by Anderson and Vahid (1998) that the test for common nonlinearities is related to the test statistic for the overidentifying restrictions in the generalized method of moments framework and that both tests have the same asymptotic distribution. As an application of the described modelling approach, a three-variable linear vector autoregressive (VAR) model of the consumer price index for Slovenia and Austria and the nominal exchange rate between the currencies of both countriesis investigated. A single common nonlinear component is detected in all 3 equations and the estimated multivariate logistic smooth transition autoregressive model is discussed.
Ključne besede: ekonometrija, matematična ekonomija, matematika, korelacije
Objavljeno: 10.07.2015; Ogledov: 300; Prenosov: 30
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