Full-text resources of CEJSH and other databases are now available in the new Library of Science.
Visit https://bibliotekanauki.pl

Results found: 4

first rewind previous Page / 1 next fast forward last

Search results

Search:
in the keywords:  mutual fund
help Sort By:

help Limit search:
first rewind previous Page / 1 next fast forward last
1
Publication available in full text mode
Content available

Orthogonalized factors in market-timing models of Polish equity funds

100%
Olbryś J.
Metody Ilościowe w Badaniach Ekonomicznych
|
2010
|
vol. 11
|
issue 1
128-138
EN
The main goal of this paper is to examine the influence of factor orthogonalization in modified versions of classic market-timing models with the Fama and French spread variables SMB and HML, which have been introduced in [Olbryś 2010]. We construct the orthogonal market factors using the Busse procedure [Busse 1999]. The market-timing and selectivity abilities of 15 equity open-end mutual funds have been evaluated for the period January 2003 – December 2009 based on the panel data estimation using the SUR method. We compare the regression results of the models with common and orthogonal market factors and investigate their statistical properties.
2
Publication available in full text mode
Content available

Expensive and cheap funds – Polish stock mutual fund fees in 2017

100%
Fraś A.
Nauki o Finansach
|
2018
|
issue vol. 23 no. 4
38-49
EN
Mutual fund fees are extraordinarily high in Poland – almost three times higher than in Western Europe and almost five times higher than in the United States. In fact is that from among 183 Polish open-ended stock mutual funds as many as 81 impose a management fee of 4%, which is the highest value in the sample. The question arises whether it is really worth to invest in funds from the more expensive group. Comparing funds charging the highest fees (4%) with the cheaper ones it seems that there is no statistically significant difference between rate of return, risk and efficiency. However, more expensive funds have on average higher costs, are three years older and have almost 70% bigger assets. This may suggest that a well-established market position – not performance – is the trigger for raising their fees. Interestingly, funds with a relatively high minimal initial contribution level (5,000 PLN) have significantly lower management fees with similar costs, total assets value and performance results. Further analysis has also indicated that the costs level (Total Expense Ratio) is higher for older funds, while it is not related to funds’ size.
3

Analiza wpływu wybranych czynników na popyt na usługę zarządzania funduszem inwestycyjnym

100%
Łukojć A., Białomazur I.
Ekonomia. Wrocław Economic Review
|
2018
|
vol. 24
|
issue 2
23 - 38
EN
The authors try to identify the main factors impacting the value of inflows to mutual funds in Poland. The inflows to mutual funds are compared to the following data: costs (total expense ratios), investment performance in the current and previous year, and fund size. The data was collected from 451 financial statements of Polish mutual funds, for the years 2012–2016. The funds belong to three categories: bond, equity, small, and mid cap equity. The findings suggest that the connection between the funds fees — the price — and inflows to funds is relatively weak. Investment performance in the same year is the only factor that shows significant correlation with mutual fund flows.
4
Content available remote

Assessing the Efficiency of Investment Fund Management Using Quantile Risk Measures

88%
Rutkowska-Ziarko A., Garsztka P.
Olsztyn Economic Journal
|
2016
|
vol. 11
|
issue 3
277-298
EN
The aim of the research is to compare the efficiency of managing selected Polish investment funds in various phases of stock market condition. The Value at Risk (VaR) and Conditional Value at Risk (CVaR) is used to construct efficiency ratios of fund management. Those funds investing in financial instruments have the most stable expected rate of return and the lowest risk, in all the analysed periods which made them highly effective. The article also discusses the alternative methods to VaR and CVaR estimation which are used in the study. It is noted VaR and CVaR estimates obtained using backtesting and using APARCH models give similar results.
first rewind previous Page / 1 next fast forward last
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.