Croatian and Slovenian Mutual Funds and Bosnian Investments Funds (in English)

Boris Podobnik, Vanco Balen, Timotej Jagric () and Marko Kolanovic
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Boris Podobnik: Faculty of Civil Engineering, University of Rijeka, Rijeka, and Zagreb School of Economics and Management, Zagreb, Croatia
Vanco Balen: Department of Mathematics, University of Zagreb, Zagreb, Croatia
Timotej Jagric: Department of Quantitative Economic Analysis, Faculty of Economics and Business, University of Maribor, Maribor, Slovenia
Marko Kolanovic: Bear, Stearns & Co. Inc., Equity Derivatives Strategy, New York

Czech Journal of Economics and Finance (Finance a uver), 2007, vol. 57, issue 3-4, 159-177

Abstract: The paper provides a stock-market-performance analysis for three emerging European stock markets: Croatia, Slovenia, and Bosnia and Herzegovina. Using monthly observations we perform a detailed study of the performance of Croatian and Slovenian mutual funds and Bosnian investment funds. The risk-return measures of the funds are assessed using the Sharpe ratio, Treynor ratio, information ratio, Jensen’s alpha, and an appraisal ratio. Furthermore, we analyze the timing ability of the funds. Descriptive statistics for the returns are given and different statistic tests are calculated in order to test ordinary-least-squares assumptions in the data. The results are also estimated by applying the bootstrap method.

Keywords: stock market; mutual fund; investment fund; risk/return measures (search for similar items in EconPapers)
JEL-codes: C14 G10 (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:57:y:2007:i:3-4:p:159-177

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