Persystencja stóp zwrotu polskich funduszy inwestycyjnych

• Autorzy: Katarzyna Perez

Warianty tytułu

Persistence in performance of Polish mutual funds

• Języki publikacji: PL

Abstrakty

Celem niniejszego artykułu jest przedstawienie rezultatów badań dotyczących utrzymywania się stóp zwrotu funduszy inwestycyjnych w literaturze światowej oraz sprawdzenie, czy zjawisko to występuje w przypadku polskich funduszy inwestycyjnych. Badania persystencji stóp zwrotu funduszy działających na rynkach rozwiniętych dowodzą, że persystencja stóp zwrotu: 1. jest zjawiskiem występującym w krótkim okresie - w funduszach tradycyjnych do jednego roku, w funduszach hedge najczęściej do sześciu miesięcy; 2. dotyczy głównie funduszy przegranych; 3. jest zależna od rodzaju stosowanej przez zarządzających strategii inwestycyjnej, cech funduszy oraz umiejętności ich zarządzających. Badanie persystencji stóp zwrotu polskich funduszy akcji częściowo potwierdziło rezultaty osiągnięte na rynkach rozwiniętych. Stopy zwrotu polskich funduszy akcji utrzymują się przez 1, 3, 6 i 12 miesięcy. W przeciwieństwie jednak do rynków dojrzałych, dotyczy to głównie funduszy osiągających stopy zwrotu powyżej, a nie poniżej przeciętnej rynkowej. Jest to dowód na brak dojrzałości rynku polskiego oraz wysoką jakość około połowy zarządzających polskimi funduszami inwestycyjnymi. (abstrakt ze strony domowej wydawcy)

EN

The main purpose of the article is presenting the results of the studies on performance persistence of mutual funds and hedge funds in world literature and analyzing this phenomenon on Polish market. The studies on developed markets show that fund performance persistence: 1. exists only in short term (in mutual funds up to one year, in hedge funds up to 6 months); 2. exists mainly in loosing funds (icy hands) not in winning funds (hot hands); 3. depends on the investment fund style and fund attributes as well as the fund managers' skills. The study on persistence in performance of Polish mutual funds partially confirms the findings on the developed markets. The returns of Polish funds persist in 1, 3, 6 and 12 months. However the phenomenon concerns mostly hot hands not icy hands. It proves that Polish market is still emerging market and that almost half of the fund managers have high management skills. (original abstract)

Słowa kluczowe

PL

Stopa zwrotu; Fundusze inwestycyjne; Fundusze hedgingowe

EN

Rate of return; Investment funds; Hedge fund

• Czasopismo: Finanse : czasopismo Komitetu Nauk o Finansach PAN
• Rocznik: 2012
• Numer: nr 1(5)
• Strony: 81--113

Twórcy

autor

Katarzyna Perez

• Uniwersytet Ekonomiczny w Poznaniu

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