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2011 | 6 | 1 | 61-69
Article title

Mutual Fund Performance in Slovenia: An Analysis of Mutual Funds with Investment Policies in Europe and the Energy Sector

Title variants
Languages of publication
EN
Abstracts
EN
This paper examines the risk and return performance of mutual funds in Slovenia from 2005 until August 2009. The research is limited to the regional investment policies in Europe and the energy sector. Using monthly returns, we analyzed different risk-adjusted measures such as: the Treynor ratio, the Sortino ratio and the Information ratio. We also studied selections and timing ability using the Treynor-Mazuy model. The risk and return performance of mutual funds in the Slovenian market does not deviate from those in developed markets. We also found out that the selection ability of fund managers is better than market timing and that the findings of this paper are in accordance with other international studies.
Publisher
Year
Volume
6
Issue
1
Pages
61-69
Physical description
Dates
published
2011-04-01
online
2011-06-03
Contributors
  • Faculty of Business and Economics, University of Maribor
author
  • KBM Infond d.o.o., Asset Managment Company - Group Nova KBM
References
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  • Bank of Slovenia. 2009. Poročilo o finančni stabilnosti. (database online)
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  • EFAMA-European Fund and Asset Management Association. 2008. Efama Fact Book - Trends in European Investmen Funds 6th Edition. EFAMA 2008.
  • EFAMA-European Fund and Asset Management Association. 2009. Efama Fact Book - Trends in European Investmen Funds 7th Edition. EFAMA 2009.
  • Fama, F. Eugene and French, R. Kenneth. 2004. The Capital Asset Pricing Model: Theory and Evidence. Journal of Economic Perspectives, Vol. 18-3, 25-46.[Crossref]
  • Feibel, Bruce J. 2003. Investment performance measurement. New Jersey: John Wiley & Sons, Inc.
  • Head, Tony. 2008. CAPM: Theory, advantages and disadvantages. ACCA-Student Accountant Magazine, 2008, 51-53.
  • Ippolito, R. 1989. Efficiency wiht Costly Information: A study of Mutual Fund Performance, Quarterly Journal of Economics, Vol. 104, 1-23.[Crossref]
  • Jagrič, T., Podobnik, B., Balen, V., Kalanovič, M. in Jagrič, V. 2007. Stock Market Performance Analysis for Three European Emerging Stock Markets. The Business Review, Summer 2007, 8.
  • Jensen, C. Michael. 1968. The Performance of Mutual Funds in the Period 1945-1964. The Journal of Finance, Vol. 23-2, 389-416[WoS]
  • KD Finančna točka. (2009). Vzajemni skladi - Arhiv. (database online).
  • Lintner, John. 1965. The Valuation of Risk Assets and the Selection or Risky Investments in Stock Portfolios and Capital Budgetes. Review of Economics and Statistics, Vol. 47-1, 13-37.[Crossref]
  • Markowitz, M. Harry. 1952. Portfolio Selection. The Journal of Finance, Vol. 7, 77-91.
  • Sharpe, F. William. 1964. Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance, Vol. 19-3, 425-442.
  • Sharpe, F. William. 1966. Mutual Fund Performance. Journal of Business, Vol. 39, 119-138.[Crossref]
  • Roll, Richard. 1977. A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory. Journal of Financial Economics, Vol. 4-2, 129-176.[Crossref]
  • Treynor, J. 1965. How to rate management investment funds. Harvard Business Review, Vol. 43, January-February, 63-75.
  • Treynor, J. in Mazuy, K. 1966. Can Mutal Funds Outguess the Market? Harvard Business Review, Vol. 43 July-August, 131-136.
  • SURS - Statistical Office of the Republic of Slovenia. (2010). Primanjkljaj in dolg države. (database online).
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.doi-10_2478_v10033-011-0006-y
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