PL EN


2013 | 14 | 1 | 202-211
Article title

THE COMPARISON OF RANKINGS CREATED FOR OPEN-END EQUITY MUTUAL FUNDS WITH APPLICATION OF DIFFERENT EFFECTIVENESS MEASURES

Content
Title variants
Languages of publication
EN
Abstracts
EN
The presented work tries to carry out the comparison analysis of eight measures which are used to judge the open-end mutual fund’s management. These are: coefficient of Burke, Sterling, Calmar, Omega, Sortino, Sharpe – Izraelsen, Information Ratio and potential of excess rate of return. The above measures were applied to equity mutual funds operating on polish capital market in 2003-2012 years. The investigations were carried out for three periods: 2003-2012 and for two five years sub-periods. Within which of them the ranking of funds were created to classify them from the most effective to the smallest. In order to answer the question about the influence of singled out effectiveness measures on judgment of portfolio management the Spearman rang coefficients were calculated between rankings created with application of different measures. In this way the detailed information was obtained not only about “the best” and “the worst” mutual funds in different periods but also this information was made dependent on market condition. It is because the division of investigation period on two sub-periods harmonizes with bullish and bearish market on polish stock exchange. From one point this work is some recapitulation of the results obtained by authors in previous investigations but from another point it is some kind of its extension and generalization.
Year
Volume
14
Issue
1
Pages
202-211
Physical description
Dates
published
2013
Contributors
  • Department of Econometrics and Statistics Warsaw University of Life Sciences – SGGW , andrzej_karpio@sggw.pl
  • Department of Econometrics and Statistics Warsaw University of Life Sciences – SGGW , zdorota@o2.pl
References
  • Domański Cz. (red) (2011) Nieklasyczne metody oceny efektywności i ryzyka (Non-classical methods for assessing the effectiveness and risks) PWE, Warszawa.
  • Eling M. (2008) Performance Measurement in the Investment Industry: Does the Measure Matter? Working Paper Series in Finance, Paper No. 73.
  • Eling M., Schuhmacher F. (2007)Does the Choice of Performance Measure Influence the Evaluation of Hedge Funds? Journal of Banking & Finance, No 31, 2632-2647.
  • Karpio A., Żebrowska – Suchodolska D. (2011) Przypadkowość wyników inwestycyjnych FIO funkcjonujących na polskim rynku kapitałowym, referat wygłoszony na konferencji Innowacje w finansach i ubezpieczeniach. Metody matematyczne, ekonometryczne i komputerowe im. dr hab. Prof. AE Piotra Chrzana, Wisła.
  • Karpio A., Żebrowska – Suchodolska D. (2012) Ocena zarządzania portfelami FIO z wykorzystaniem różnych miar efektywności inwestycyjnej, referat wygłoszony na konferencji Innowacje w finansach i ubezpieczeniach. Metody matematyczne, ekonometryczne i komputerowe im. dr hab. Prof. AE Piotra Chrzana, Wisła.
  • Karpio A., Żebrowska – Suchodolska D. (2013), Miary efektywności i ryzyka otwartych funduszy inwestycyjnych, Rynek kapitałowy. Skuteczne inwestowanie, Zeszyty Naukowe Nr 768 Finanse, Rynki finansowe, Ubezpieczenia Nr 63, Szczecin, 221-232.
  • Luszniewicz A., Słaby T. (2003) Statystyka z pakietem komputerowym STATISTICA PL, Wydawnictwo C.H. BECK, Warszawa.
  • Nguyen-Thi-Thanh H. (2007) Assessing Hedge Fund Performance: Does the Choice of Measures Matter?, october 2007, a Research Paper.
  • Ornelas J.R.H., Silva Jr. A.F.A., Fernandes Jose L.B. (2011) Yes, the Choice of Performance Measure Does Matter For Ranking of USMutual Funds, International Journal of Finance & Economics, vol. 17(1), 61-72.
  • Sharpe W. (1966) Mutual Fund Performance, Journal of Business. 119-138.
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-60be69cc-904c-4c83-81a6-766265dbcbd1
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