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Czasopismo
2017 | nr 4 | 343--373
Tytuł artykułu

Short-, Medium- and Long-run Performance Persistence of Investment Funds in Poland

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
The author examines short-, medium- and long-run performance persistence in the assets of money, bond and stock funds listed on the Polish market in 2000-2012. It is a continuation of the author's previous work concerning long-run persistence of returns and investment risk in rolled five-year sub-periods. The safe, hybrid and stock fund portfolios are formed on the basis of tested funds. The persistence of returns and the revised Sharpe ratio are investigated in rolled 1-, 2-, 3-, 4- and 5-year sub-periods, with a one year step. Also, performance persistence is assessed using the classic CAPM as well as classic and modified Fama-French models, which allow for evaluating management skills. Fouryear and five-year persistence of the revised Sharpe ratio of money and bond funds is found to occur. One can assume the occurrence of 4-year average return reversal for hybrid funds, and 2-year return and the revised Sharpe ratio persistence of stock fund portfolios. The CAPM and Fama-French model simulations of returns indicate stability management skills of stock and hybrid funds in 1-year subperiods, as well as varying management skills of stock, hybrid and safe funds in 5-year sub-periods. (original abstract)
Czasopismo
Rocznik
Numer
Strony
343--373
Opis fizyczny
Twórcy
  • AGH University of Science and Technology Kraków, Poland
Bibliografia
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Typ dokumentu
Bibliografia
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