Mutual Fund Performance on The Polish Capital Market

Radosław Pietrzyk

Abstract

Analysing the performance of mutual funds is a significant theoretical and practical issue. There is currently no consensus on the market regarding which methods of assessing investment performance should be used. This study examines the performance of Polish mutual funds between 2004 and 2020. The mutual fund data set contains the returns of Polish equity funds with at least 80% of the fund capital invested in domestic equity. The main purpose of this article is to compare different methods of evaluating fund abilities in the area of market timing and security selection. Regression-based Treynor- Mazuy and Henriksson-Merton models were employed to assess the market timing and stock selection abilities of fund managers. The estimated parameters of the models used in the research were statistically significant and the models were well fitted to the data. However, no evidence of any market timing ability in the selected group of funds was found. The results thus indicate that managers of Polish mutual funds exhibit no selectivity ability or timing ability.
Author Radosław Pietrzyk (E&F / DoFIaRM)
Radosław Pietrzyk,,
- Department of Financial Investments and Risk Management
Pages11588-11594
Publication size in sheets0.5
Book Soliman Khalid S. (eds.): Education Excellence and Innovation Management: A 2025 Vision to Sustain Economic Development during Global Challenges, 2020, International Business Information Management Association (IBIMA), ISBN 9780999855141
Keywords in EnglishMutual fund performance; market timing; selectivity
Languageen angielski
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Pietrzyk_R_Mutual_Fund_Performance.pdf 118,93 KB
Score (nominal)70
Score sourceconferenceList
Citation count*
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Uwaga"The project is financed by the Ministry of Science and Higher Education in Poland under the programme "Regional Initiative of Excellence" 2019 – 2022. The project number is 015/RID/2018/19 and the total amount of funding is 10 721 040,00 PLN"
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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