Mutual Fund Ex-post Performance Measurement – evaluation and comparative analysis of open-end and closed-end funds
Journal Title: Zarządzanie i Finanse - Year 2014, Vol 12, Issue 2
Abstract
The study is to evaluate and compared the performance of the open-end and closed-end investment funds. The proposed approach evaluates effectiveness of the fund‘s investment strategy in terms of the investment horizon and the frequency of data used for the evaluation process portfolio performance. As a tool used wavelet analysis that has been applied to the decomposition of the excess returns of funds for the six scales. Sharpe ratios calculated on the basis of the so-transformed series formed the basis for the arrangement of funds. Rankings obtained for the six scales used did not yield consistent classification. Results of a comparative analysis of investment funds open-end and closed-end showed that much better in the period were investment funds open-end than closed-end funds.
Authors and Affiliations
Anna Zamojska
Keywords
Related Articles
- EP ID EP121695
- DOI -
- Views 68
- Downloads 0
Efektywność podstawowych form aktywizacji zawodowej w Polsce w latach 2005–2011
Sytuacja na rynku pracy w Polsce świadczy o tym, że niedopasowanie między podażą i popytem ma przede wszystkim charakter strukturalny. Wskazuje to na konieczność poprawy skuteczności stosowanych dotychczas w prakty...
The Role of Information in Bank’s Credit Risk Management
The main purpose of the article is to present the role of information in bank management, in the aspect of credit risk accompanying the bank performance. To prepare relevant risk analyses, comprehensive, reliable a...
Management in design-orientated companies
The XXIst century is the age, when the world of business can’t ignore the strategic changes and prospects in technology and in organizational behavior. This is also time, when many people discern, there are more di...
Znaczenie elastyczności finansowej przedsiębiorstwa w czasie globalnego kryzysu
Artykuł prezentuje wyniki badań przeprowadzonych na niefinansowych spółkach publicznych notowanych na Giełdzie Papierów Wartościowych w Warszawie związanych ze znaczeniem elastyczności finansowej przedsiębiorstw w...
Fiscal meaning and execution efficiency of Customs Service in Poland
Knowledge about fiscal efficiency of Customs Service is very important in a view of significant scale of public levies collected by this institution. Such knowledge can be particularly useful for service efficiency...