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

• Authors: Andrzej Karpio , Dorota Zebrowska-Suchodolska
• 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.

Keywords

EN

open-end mutual funds; measures of investment effectiveness; Spearman rang coefficient

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2013
• Volume: 14
• Issue: 1
• Pages: 202-211

Dates

published

2013

Contributors

author

Andrzej Karpio

• Department of Econometrics and Statistics Warsaw University of Life Sciences – SGGW

author

Dorota Zebrowska-Suchodolska

• Department of Econometrics and Statistics Warsaw University of Life Sciences – SGGW

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