Analiza źródeł wyników portfeli akcyjnych otwartych funduszy emerytalnych w Polsce z wykorzystaniem metodyki performance attribution

• Authors: Grzegorz Prosowicz

Title variants

EN

ANALYSIS OF EQUITY PORTFOLIOS OF OPEN PENSION FUNDS IN POLAND BASED ON PERFORMANCE ATTRIBUTION METHODOLOGY

• Languages of publication: PL

Abstracts

EN

Examining the equity part of open pension fund (OFE) portfolios in January and February 2009, this study looks at performance attribution methodology used to analyze the sources of portfolio performance against the benchmark. It found a significantly negative impact of decisions on sector allocation against the WIG index. An important contribution of the study is its comparison of results based on various attribution methods and smoothing algorithms. Special attention is paid to the differences between two fundamental approaches to the calculation and presentation of performance: arithmetic and geometric.

Keywords

EN

ASSET ALLOCATION; PORTFOLIO MANAGEMENT; ACTIVE MANAGEMENT; PERFORMANCE ATTRIBUTION; PERFORMANCE MEASUREMENT; INVESTMENT STYLE; STOCK SELECTION

• Publisher: Wydawnictwo Uniwersytetu Ekonomicznego w Krakowie
• Journal: Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie
• Year: 2012
• Issue: 877
• Pages: 59-74

Contributors

author

Grzegorz Prosowicz

• Comarch SA, al. Jana Pawła II 39A, 31-864 Kraków, Poland