ISSN: 2450-7741
eISSN: 2300-4460
OAI
DOI: 10.18276/frfu.2017.86-22
Issue archive /
2/2017 (86)
Zastosowanie wybranych miar zysków i strat do badania efektywności inwestycyjnej funduszy akcyjnych w latach 2007-2015
(APPLICATION OF SELECTED MEASURES OF GAINS AND LOSSES FOR TESTING THE EFFECTIVENESS OF THE INVESTMENT EQUITY FUNDS IN THE YEARS 2007-2015)
| Authors: |
Dorota
Żebrowska-Suchodolska
SGGW w Warszawie |
| Keywords: | Martin ratio gain-loss ratio Spearman’s rank correlation coefficient |
| Data publikacji całości: | 2017 |
| Page range: | 10 (263-272) |
Abstract
Purpose – The aim of the study was to evaluate the investment results achieved by equity funds and their stability.
Design/Methodology/approach – In the paper applied measures related to the drawdown ie. gain-loss and Martin indicators. The research involved sixteen equity funds in the period 2007–2015, which was divided into sub-periods of the length of two, three and four years. Also examined the stability of the rankings of the funds obtained in the each sub-periods using Spearman’s rank correlation coefficient if the results of management are able to hold a longer period of time.
Findings – The results are mostly unsatisfactory for the investor. They also indicate the lack of leaders in sub-periods of the length of four years. In shorter periods (2-, 3-years) only in one case there is a correlation significantly different from zero.
Originality/Value – The work is a continuation of research based largely on the classic indicators, ie. Sharpe, Treynor and Jensen ratios.
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