Author information:
Dávid Andor Rácz: Corvinus University of Budapest, PhD Candidate. E-mail: raczdavidandor@gmail.com
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.
Cite as (APA):
Rácz, D. A. (2019). Comparison of Manipulation-proof Measures on Hungarian Data. Financial and Economic Review, 18(2), 31–51. https://doi.org/10.33893/FER.18.2.3151
Column:
Study
Journal of Economic Literature (JEL) codes:
G11, G23
Keywords:
portfolio selection, investment decisions, investment funds, performance assessment
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