DO MUTUAL FUND PERFORMANCE AND THE ABILITIES OF FUND MANAGERS IN SLOVENIA DEVIATE FROM THOSE IN DEVELOPED MARKETS?

Markovic-Hribernik Tanja () and Vek Uros ()
Additional contact information
Markovic-Hribernik Tanja: University of Maribor
Vek Uros: KBM Infond d.o.o.,Asset Management Company-Group Nova KBM, Maribor

Romanian Economic Business Review, 2013, vol. 8, issue 1, 130-139

Abstract: Up until the beginning of the financial crisis, Slovenia was marked by exceptionally high growth rates in the mutual fund industry. The reason for this were in the performance of the Slovenian stock market index, which was one of the best performing in 2007. In this paper we analyzed mutual funds performance in Slovenia to discover the quality of fund managers in the market. The focus was on funds with selected sectoral investment policy. We analyzed different riskadjusted measures such as the M2, the Treynor ratio, the Sortino ratio and the Information ratio using monthly log returns. We also studied selection ability of fund managers with Jensens alpha and timing ability using the Treynor-Mazuy model. We found out that the risk and return performance of mutual funds in Slovenia does not deviate from those in the developed markets and that we can not confirm the selection and market timing ability of fund managers.

Keywords: investment policy; mutual fund performance; risk-adjusted measures; emerging markets (search for similar items in EconPapers)
Date: 2013
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