Koszty Obsługi a Wyniki Funduszy Inwestycyjnych W Polsce – Relacja Długoterminowa

Filip, Dariusz; Karaś, Dariusz

doi:10.22630/mibe.2018.19.2.12

Cited by 2 publications

(3 citation statements)

References 20 publications

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“…First, the article provides a complex approach to the investigation of the performance of equity fund investment strategies in Poland. Previous research emphasizes evaluating the performance of investment strategies based mainly on the classical Sharpe, Treynor or Jensen ratios, using the one factor regression model [5,7,9]. Second, to the best of our knowledge, this is the first study in which the profitability and performance of ESG equity funds in Poland were comprehensively evaluated.…”

Section: Discussionmentioning

confidence: 99%

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Performance of Equity Fund Investment Strategies in Poland

Kravchuk

2022

Sustainability

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The modern development of the investment funds industry is underpinned by the understanding of the efficiency and quality of asset management regarding the use of various investment strategies. The purpose of the article is to examine investment strategy performance in equity funds domiciled in Poland using standard relative and absolute measures. The proposed method uses the Sharpe ratios, the Treynor ratio and the Jensen ratios. The research covers investment funds, spanning the period 2017–2021. The study (using the Sharpe and Traynor ratios) finds that the financial instruments for investment funds domiciled in Poland may be attractive to conservative investors, as they provide excessive returns compared to the returns of risk-free assets and inflation, but for riskier investors, most of the investment funds analyzed were unattractive (negative value of the returns of funds compared to stock indices). Absolute measures of fund performance, using the Jensen ratio, are limited for comparing all groups of investment strategies. A specific negative feature in the study of investment strategies based on the Jensen ratio is their inefficiency, that is, all statistically significant values of this ratio are negative. The management of ESG-funds with investments in the European financial market was more efficient than most conventional investment funds.

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Section: Discussionmentioning

confidence: 99%

“…Filip and Karaś [7] attempted to determine whether there was a long-term relationship between the participation cost index and the performance of investment funds. For this purpose, classical time series analysis tools were used, i.e., KPSS stationarity test and Engle-Granger cointegration analysis and Johansen test.…”

Section: Literature Review and Hypothesesmentioning

confidence: 99%

Performance of Equity Fund Investment Strategies in Poland

Kravchuk

2022

Sustainability

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“…oleksy [2015], in turn, revealed an erosive impact of the expense ratio on capital value for individual investors on the basis of the so-called final wealth index as it was functioning in the literature. Filip and Karaś [2018] dealt with determining relationships between expense ratio and investment effects of funds in the long term. They showed, for a relatively large research sample comprised of four basic fund segments, that there is a long-term relationship.…”

Section: Theoretical Backgroundmentioning

confidence: 99%

Wskaźnik kosztów uczestnictwa jako efekt oddziaływania atrybutów funduszy inwestycyjnych

Filip

Karaś

2019

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<p>Celem artykułu jest ustalenie wpływu atrybutów funduszy inwestycyjnych, takich jak wiek, wielkość funduszu oraz wielkość towarzystwa, do jakiego należy dany fundusz, na wysokość opłat pobieranych przez omawianych pośredników. W tym celu wykorzystano analizę regresji wielorakiej dla danych przekrojowych z wykorzystaniem trzech metod estymacji paramentów (OLS, Fama–MacBetha oraz IRLS). Analizę zależności wskaźników kosztów uczestnictwa od cech organizacyjnych oparto o dane dotyczące czterech segmentów polskich funduszy inwestycyjnych. Otrzymane wyniki potwierdzają istnienie niewielkich korzyści skali w opłatach pobieranych przez fundusze w związku ze zwiększaniem się wartości posiadanych aktywów.</p>

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Koszty Obsługi a Wyniki Funduszy Inwestycyjnych W Polsce – Relacja Długoterminowa

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Cited by 2 publications

References 20 publications

Performance of Equity Fund Investment Strategies in Poland

Performance of Equity Fund Investment Strategies in Poland

Wskaźnik kosztów uczestnictwa jako efekt oddziaływania atrybutów funduszy inwestycyjnych

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