Boris Podobnik (Faculty of Civil Engineering, University of Rijeka, Rijeka, and Zagreb School of Economics and Management, Zagreb, Croatia) Vanco Balen (Department of Mathematics, University of Zagreb, Zagreb, Croatia) Timotej Jagric () (Department of Quantitative Economic Analysis, Faculty of Economics and Business, University of Maribor, Maribor, Slovenia) Marko Kolanovic (Bear, Stearns & Co. Inc., Equity Derivatives Strategy, New York)
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The paper provides a stock-market-performance analysis for three emerging European stock markets: Croatia, Slovenia, and Bosnia and Herzegovina. Using monthly observations we perform a detailed study of the performance of Croatian and Slovenian mutual funds and Bosnian investment funds. The risk-return measures of the funds are assessed using the Sharpe ratio, Treynor ratio, information ratio, Jensen’s alpha, and an appraisal ratio. Furthermore, we analyze the timing ability of the funds. Descriptive statistics for the returns are given and different statistic tests are calculated in order to test ordinary-least-squares assumptions in the data. The results are also estimated by applying the bootstrap method.
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Find related papers by JEL classification: G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data) C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods