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  1. 1 Wieloch M.

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Persistence of Beta of Mutual Funds Operating in Poland

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Wieloch M.
Journal of Management and Financial Sciences
|
2015
|
vol. 22(4)
45-56
EN
The research of the persistence of beta of mutual funds operating in Poland, based on half of the general population of Polish equity mutual funds, was conducted primarily in order to examine whether there is any variation of systematic risk in mutual funds operating in Poland. The level of this kind of risk was measured and its volume evaluated. The thesis assuming the absence of volatility risk measured by the beta indicator was rejected. The results of this study were used to propose a novel risk indicator for mutual funds – the Synthetic Indicator of Systematic Risk Volatility (SISRV), which takes into account both the level of beta volatility of funds and its dispersion (maximum drawdown).
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