 Short-, medium- and long-run performance persistence of investment funds in PolandStanisław Urbański ()
Bank i Kredyt, 2017, vol. 48, issue 4, 343-374 Abstract: 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. monetary policy. Keywords: performance persistence; investment funds performance; Fama-French model (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpbik:v:48:y:2017:i:4:p:343-374 Access Statistics for this article More articles in Bank i Kredyt from Narodowy Bank Polski Contact information at EDIRC. |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.