Multifactor models in the analysis of mutual fund effectiveness
The aim of this paper is to examine the efficiency of Polish mutual funds. The applied performance measures are parameters of the models developed by Jensen, Fama-French and Carhart. By means of average returns, it is found that equity funds are not able to outperform the benchmark in a statisticall...
| Main Author: | |
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| Format: | Article |
| Language: | English |
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Wydawnictwo Naukowe Wydziału Zarządzania Uniwersytetu Warszawskiego
2019-01-01
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| Series: | Problemy Zarządzania |
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| Online Access: | http://pz.wz.uw.edu.pl/gicid/01.3001.0013.0959 |
| _version_ | 1831645680721985536 |
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| author | dr Dariusz Filip |
| author_facet | dr Dariusz Filip |
| author_sort | dr Dariusz Filip |
| collection | DOAJ |
| description | The aim of this paper is to examine the efficiency of Polish mutual funds. The applied performance measures are parameters of the models developed by Jensen, Fama-French and Carhart. By means of average returns, it is found that equity funds are not able to outperform the benchmark in a statistically significant manner and use premiums from factor-mimicking portfolios, with the exception of the size factor. In the frequency analysis, it was noted that negatively performing funds significantly predominate positively performing ones. This was observed especially in the periods of downward trends in financial markets. The lack of effectiveness is also confirmed in the analysis of the TSCS data for a relatively large study sample including 87 entities. A certain sensitivity of the size factor in performance can be noticed in this case.
JEL: G11, G14, G23 |
| first_indexed | 2024-12-19T13:41:02Z |
| format | Article |
| id | doaj.art-2a3852b3407346b1aec21a359173ad58 |
| institution | Directory Open Access Journal |
| issn | 1644-9584 |
| language | English |
| last_indexed | 2024-12-19T13:41:02Z |
| publishDate | 2019-01-01 |
| publisher | Wydawnictwo Naukowe Wydziału Zarządzania Uniwersytetu Warszawskiego |
| record_format | Article |
| series | Problemy Zarządzania |
| spelling | doaj.art-2a3852b3407346b1aec21a359173ad582022-12-21T20:19:00ZengWydawnictwo Naukowe Wydziału Zarządzania Uniwersytetu WarszawskiegoProblemy Zarządzania1644-95842019-01-01163(76) Nowe trendy w finansach618110.7172/1644-9584.76.501.3001.0013.0959Multifactor models in the analysis of mutual fund effectivenessdr Dariusz Filip0Uniwersytet Kardynała Stefana Wyszyńskiego w Warszawie Wydział Nauk Historycznych i Społecznych Katedra FinansówThe aim of this paper is to examine the efficiency of Polish mutual funds. The applied performance measures are parameters of the models developed by Jensen, Fama-French and Carhart. By means of average returns, it is found that equity funds are not able to outperform the benchmark in a statistically significant manner and use premiums from factor-mimicking portfolios, with the exception of the size factor. In the frequency analysis, it was noted that negatively performing funds significantly predominate positively performing ones. This was observed especially in the periods of downward trends in financial markets. The lack of effectiveness is also confirmed in the analysis of the TSCS data for a relatively large study sample including 87 entities. A certain sensitivity of the size factor in performance can be noticed in this case. JEL: G11, G14, G23http://pz.wz.uw.edu.pl/gicid/01.3001.0013.0959effectivenessmutual fundsfactor mimicking portfolios |
| spellingShingle | dr Dariusz Filip Multifactor models in the analysis of mutual fund effectiveness Problemy Zarządzania effectiveness mutual funds factor mimicking portfolios |
| title | Multifactor models in the analysis of mutual fund effectiveness |
| title_full | Multifactor models in the analysis of mutual fund effectiveness |
| title_fullStr | Multifactor models in the analysis of mutual fund effectiveness |
| title_full_unstemmed | Multifactor models in the analysis of mutual fund effectiveness |
| title_short | Multifactor models in the analysis of mutual fund effectiveness |
| title_sort | multifactor models in the analysis of mutual fund effectiveness |
| topic | effectiveness mutual funds factor mimicking portfolios |
| url | http://pz.wz.uw.edu.pl/gicid/01.3001.0013.0959 |
| work_keys_str_mv | AT drdariuszfilip multifactormodelsintheanalysisofmutualfundeffectiveness |