Assessing the performance of mutual funds with multifactor asset pricing models

Artur A. Trzebiński ()
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Artur A. Trzebiński: Wroclaw University of Economics and Business

Bank i Kredyt, 2022, vol. 53, issue 1, 79-106

Abstract: The subject of the article is assessing the performance of mutual funds. The main goal of the study is to indicate which multifactor asset pricing model fits the performance of the Polish mutual funds the best. Another objective is to examine the impact of risk factors on the excess returns of the Polish mutual funds. In the study, Carhart’s model and the three-, five- and six-factor Fama and French models were used. The main outcomes are as follows: (1) the Fama and French six-factor model best explains the performance of Polish equity mutual funds, (2) the size factor and the profitability factor has a positive, significant impact and the investment factor has a negative, significant impact on mutual funds’ performance, (3) the momentum factor delivers insignificant alpha and the value factor is associated with an insignificant and negative alpha.

Keywords: effectiveness; mutual funds; multifactor asset pricing model; risk factor (search for similar items in EconPapers)
JEL-codes: G11 G14 G23 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpbik:v:53:y:2022:i:1:p:79-106

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