Polish Absolute Return Funds And Stock Funds. Short And Long Term Performance Comparison

Perez Katarzyna ()
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Perez Katarzyna: Poznan University of Economics, Theory of Money and Monetary Policy Department, Al. Niepodległości 10, 61-875 Poznań, Poland

Folia Oeconomica Stetinensia, 2014, vol. 14, issue 2, 179-197

Abstract: In this paper I focus on analyzing whether Polish absolute return funds, which I call quasi-hedge funds, add value to a portfolio of an individual investor by reaching higher returns than Polish stock funds. I use a sample of 25 Polish absolute return investment funds to contrast their short and long term performance, measured by Sharpe, Sortino and Jensen ratios, to the short and long term performance of 20 biggest Polish stock funds and build rankings based on that performance. Later I build funds of funds (with a different number of stock funds and/or quasi-hedge funds) and check which of them is the most efficient. I find out that in both short and long term Polish quasi-hedge funds have better returns than stock funds and they add much value to the investors’ portfolios. It can be explained by the fact that they are much smaller and younger than traditional funds, so they have much higher potential to grow and reach abnormal returns.

Keywords: absolute return funds; quasi-hedge funds; fund performance; portfolio efficiency; Poland (search for similar items in EconPapers)
JEL-codes: G11 G23 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:foeste:v:14:y:2014:i:2:p:179-197:n:16

DOI: 10.1515/foli-2015-0016

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