BazEkon - The Main Library of the Cracow University of Economics

BazEkon home page

Main menu

Żebrowska-Suchodolska Dorota (Warsaw University of Life Sciences - SGGW, Poland), Karpio Andrzej (Warsaw University of Life Sciences - SGGW, Poland)
Positioning Equity Mutual Funds Performance with the Use of Various Risk Measures
Optimum : Economic Studies, 2020, nr 2(100), s. 132-147, tab., bibliogr. s. 146-147
Ryzyko, Stopa zwrotu, Fundusze inwestycyjne, Efektywność inwestycji
Risk, Rate of return, Investment funds, Efficiency of investment
JEL Classification: C13, C21, G23
Purpose - Verifying the hypothesis that the ranking positions of funds are not repeatable during periods of changing market conditions. The subject of research are equity investment funds operating on the Polish market in the years 2003-2017. Research method - The research employed various risk measures appearing in investment performance indicators: as measures of variability relative to the average rate of return or market benchmark as well as measures of potential investor losses. Performance comparisons were made in five-year subperiods taking into account the monthly percentage changes in participation units. In each subperiod, a number of rankings based on the following indicators: Sharpe, Information Ratio, Sortino, Martin, Pain, Calmar, RVaR, mRVaR and CS were created. Results - There are no funds that would occupy high ranking positions created on the basis of various indicators. Positions taken by equity funds change randomly regardless of the situation on the capital market. Originality /value / implications / recommendations - The study uses a wide range of measures that differ in many important parameters from an investment point of view. In particular, this applies not only to risk measures, but also to benchmarks. The authors tried to increase the value of the study by associating subperiods with periods of changing market conditions. This allows conclusions to be drawn regarding the capital market segment. The presented studies can be extended to funds from other risk classes. (original abstract)
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
Full text
  1. Albrecht P., Koryciorz S., 2003, Bestimmung des conditional value-at-risk bei normal- bzw. Lognormalverteilung. mannheimer manuskripte zur risikotheorie, "Portfolio Management und Versicherungswirtschaft", no. 142.
  2. Alexander G.J., Baptista A.M., 2003, Portfolio performance evaluation using value-at-risk, "The Journal of Portfolio Management", vol. 29(4), pp. 93-102, DOI: 10.3905/jpm.2003.319898.
  3. Bacon C.R., 2008, Practical portfolio performance measurement and attribution, Wiley, Hoboken, NJ.
  4. Borowski K., 2014, Miary efektywności zarządzania na rynkach finansowych, Difin, Warszawa.
  5. Collinet L., Firer C., 2003, Characterising persistence of performance amongst South African general equity unit trust, Omega, "The International Journal of Management Science", vol. 31(6), pp. 523- 538.
  6. Dowd K., 2000, Adjusting for risk: An improved Sharpe ratio, "International Review of Economics and Finance", vol. 9, pp. 209-222.
  7. Eling M., 2008, Does the Measure Matter in the Mutual Fund Industry?, "Financial Analysts Journal", vol. 64, pp. 54-66, DOI: 10.2469/faj.v64.n3.6.
  8. Jakšić M., Leković M., Milanović M., 2015, Measuring the performance of mutual funds: A case study, "Industrija", vol. 43(1), pp. 37-51, DOI: 10.5937/industrija43-6677.
  9. Jorion P., 2006, Value at Risk, McGraw-Hill, Boston.
  10. Karpio A., Żebrowska-Suchodolska D., 2014, Ocena zarządzania portfelami otwartych funduszy inwestycyjnych z  wykorzystaniem różnych miar efektywności inwestycyjnej, "Zeszyty Naukowe Uniwersytetu Ekonomicznego w  Katowicach", nr 207, s. 136-147.
  11. Kompa K., Witkowska D., 2010, Porównanie efektywności wybranych otwartych funduszy inwestycyjnych w okresie hossy i bessy, "ACTA Scientiarium Polonorum", nr 9(3), s. 169 -180.
  12. Kopiński A., 2013, Analiza polskich funduszy inwestycyjnych w okresie 2009-2012: miernik rozwoju Hellwiga na tle innych metod, "Annales Universitatis Mariae Curie-Skłodowska Sectio H: Oeconomia", nr 3 (47), s. 313-326.
  13. Kothari S.P., Warner J.B., 2001, Evaluating mutual fund performance, "The Journal of Finance", vol. 56(5), pp. 1985-2010, DOI: 10.1111/0022-1082.00397.
  14. Livanos M., 2014, Evaluation of mutual funds performance using multiple measures, Doctoral dissertation, University of Piraeus, Piraeus.
  15. Makrani K.F., Zamanian B., 2014, Ranking mutual funds using Sortino method, "Management Science Letters", vol. 4 (4), pp. 659-662, DOI: 10.5267/j.msl.2014.2.028.
  16. Martin P., McCann B., 1989, The Investor's Guide to Fidelity Funds: Winning Strategies for Mutual Fund Investors, Wiley, London.
  17. Pedersen Ch.S., Rudholm- Alfvin T., 2003, Selecting a risk-adjusted shareholder performance measure, "Journal of Asset Management", vol. 4(3), pp. 152-172, DOI: 10.1057/palgrave.jam.2240101.
  18. Perez K., 2012, Efektywność funduszy inwestycyjnych. Podejście techniczne i fundamentalne, Difin, Warszawa.
  19. Shukla R.K., van Inwegen G.B., 1995, Do locals perform better than foreigners? An analysis of UK and US mutual fund managers, "Journal of Economics and Business", vol. 47(3), pp. 241-254. DOI: 10.1016/0148-6195(95)00009-G.
  20. Sortino F.A., van der Meer R., 1991, Downside risk - Capturing what's at stake in investments situations, "Journal of Portfolio Management", vol. 17(4), pp. 27-31.
  21. Wiesinger A., 2010, Risk-adjusted performance measurement - State of the Art, Bachelor's dissertation, University of St. Gallen (HSG), St. Gallen.
  22. Zamojska A., 2015, Zastosowanie analizy falkowej w ocenie efektywności funduszy inwestycyjnych, "Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu", nr 385(25), s. 325-333, DOI: 10.15611/pn.2015.385.35.
Cited by
Share on Facebook Share on Twitter Share on Google+ Share on Pinterest Share on LinkedIn Wyślij znajomemu