Template-Type: ReDIF-Article 1.0

Author-Name: Dávid Andor Rácz
Author-Workplace-Name: Corvinus University of Budapest
Author-Email: raczdavidandor@gmail.com

Title: Comparison of Manipulation-proof Measures on Hungarian Data

Abstract: The further development of performance measures has managed to remedy some
of the problems with earlier solutions, but with regard to the measures used most
widely today, the issue of performance manipulation still needs to be tackled. This
article presents the manipulation-proof performance measure (MPPM) developed
by Ingersoll et al. (2007), which addresses this problem in a general sense. The
MPPM used by Brown et al. (2010) is also detailed, along with the doubt ratio
they developed, which can be used as a manipulation-detecting measure assessing
implied risk aversion. With the calculations included here, this paper is one of the
first to compare the MPPM and doubt ratio values calculated with the methods of
the two groups of authors, seeking to explain the differences by using data from
Hungarian absolute return funds as a sample. The results allow the author to be
the first to propose the use of the more accurate MPPM formula of Ingersoll et
al. (2007) both for performance measurement and calculation of the doubt ratio.

Classification-JEL: G11, G23
Keywords: portfolio selection, investment decisions, investment funds, performance assessment
Pages: 31-51
Volume: 18
Issue: 2
Year: 2019
File-URL: http://english.hitelintezetiszemle.hu/letoltes/fer-18-2-st2-racz.pdf
File-Format: Application/pdf
Handle: RePEc:mnb:finrev:v:18:y:2019:i:2:p:31-51