Multifactor models in the analysis of mutual fund effectiveness (Wieloczynnikowe modele w analizie efektywnosci funduszy inwestycyjnych)

Dariusz Filip ()

Problemy Zarzadzania, 2018, vol. 16, issue 76, 61-81

Abstract: The aim of this paper is to examine the efficiency of Polish mutual funds. The applied performance measures are parameters of the models developed by Jensen, Fama-French and Carhart. By means of average returns, it is found that equity funds are not able to outperform the benchmark in a statistically significant manner and use premiums from factor-mimicking portfolios, with the exception of the size factor. In the frequency analysis, it was noted that negatively performing funds significantly predominate positively performing ones. This was observed especially in the periods of downward trends in financial markets. The lack of effectiveness is also confirmed in the analysis of the TSCS data for a relatively large study sample including 87 entities. A certain sensitivity of the size factor in performance can be noticed in this case.

Keywords: effectiveness; mutual funds; factor mimicking portfolios (search for similar items in EconPapers)
JEL-codes: G11 G14 G23 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:sgm:pzwzuw:v:16:i:76:y:2018:p:61-81

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