Is Mutual Fund Performance Persistent? Evidence from the Polish Market?
Author | : Adam Zaremba |
Publisher | : |
Total Pages | : |
Release | : 2016 |
ISBN-10 | : OCLC:1306269159 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Is Mutual Fund Performance Persistent? Evidence from the Polish Market? written by Adam Zaremba and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper addresses an issue of the performance persistence in a mutual fund market. The study focuses especially on the evidence from Poland. The past performance of mutual funds is widely regarded as a key criterion in investment decision making in Poland nowadays, whereas existing empirical evidence does not confirm its predictive power. The paper consists of three main parts. The first is a review of existing academic evidence of the performance persistence. The second is the analysis of the performance persistence among Polish equity and money market funds in years 1998-2009. Three methods of analysis are employed: quartile analysis, raw-data correlation and rank correlation. The last section of the article consists of conclusions and recommendations. The study confirms existence of the persistence in raw returns and risk-adjusted returns among the Polish money market funds but not among the equity funds. There is also a strong evidence of the volatility persistence in the both group of mutual funds.