Persistence of Beta of Mutual Funds Operating in Poland

• Authors: Wieloch, Michał

Abstracts

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).

Keywords

EN

mutual funds; investment funds; performance attribution; portfolio performance; beta; investment risk; systematic risk; investment funds effectiveness; systematic risk volatility

• Publisher: Szkoła Główna Handlowa w Warszawie. Kolegium Zarządzania i Finansów
• Journal: Journal of Management and Financial Sciences
• Year: 2015
• Volume: 22(4)
• Pages: 45-56

Dates

published

2017-09-08

Contributors

author

Wieloch, Michał