PERFORMANCE OF POLISH REAL ESTATE MUTUAL FUNDS IN THE PERIOD OF 2005-2011

Artur A. Trzebinski ()
Additional contact information
Artur A. Trzebinski: Uniwersytet Ekonomiczny w Poznaniu

Oeconomia Copernicana, 2012, vol. 3, issue 4, 59-71

Abstract: This study examines the performance of Polish real estate funds in the period of 2005-2011 using several different benchmarks. The second aim is to verify the research hypothesis: Polish real estate mutual funds were effective in the period of 2005-2011. To determine their effectiveness Sharpe ratio, Jensen and Jensen's Alpha were used. WIG index, WIG-Construction index and the real estate mutual funds index are used as the benchmarks. The risk-free asset is the return on 52-weeks Treasury bills. An important part of this paper is the study of Polish and foreign real estate mutual funds returns. In the review of literature particular attention was paid to the used methods. The article included nine funds and the results indicate that only two of them (in relation to all accepted benchmarks) were effective. In comparison, the real estate mutual funds index showed the effectiveness of six funds.

Keywords: real estate mutual funds; performance of real estate mutual funds; CREF (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations:

Downloads: (external link)
http://dx.doi.org/10.12775/OeC.2012.023 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pes:ieroec:v:3:y:2012:i:4:p:59-71

Access Statistics for this article

Oeconomia Copernicana is currently edited by Adam P. Balcerzak and Michal Moszynski

More articles in Oeconomia Copernicana from Institute of Economic Research Contact information at EDIRC.
Bibliographic data for series maintained by Adam P. Balcerzak ( this e-mail address is bad, please contact ).