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Long-Run Performance Persistence of Investment Funds

Author

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  • Stanisław Urbański
  • Maciej Winiarz
  • Kacper Urbański

Abstract

This article analyzes the long-run persistence of returns and risk of investment in the assets of money, bound, and stock funds recorded on the Polish market in 2000–12. Portfolios of safe, hybrid, and stock classes are formed on the basis of tested funds. The persistence of returns and the Sharpe ratio are investigated in rolled five-year sub-periods, with one year step. Also, persistence in performance is assessed using classic CAPM and Fama and French models, which allow for evaluating management skills. We find the occurrence of the Sharpe ratio long-run persistence of money and bound funds. The study does not explicitly show long-run persistence in hybrid and stock fund portfolios. The CAPM and Fama and French models simulations of returns on stock and hybrid funds indicate varying management skills during five-year periods.

Suggested Citation

  • Stanisław Urbański & Maciej Winiarz & Kacper Urbański, 2016. "Long-Run Performance Persistence of Investment Funds," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(8), pages 1813-1831, August.
    • Handle: RePEc:mes:emfitr:v:52:y:2016:i:8:p:1813-1831
    DOI: 10.1080/1540496X.2015.1069134
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    Cited by:

    1. Katarzyna Perez & £ukasz Szymczyk, 2022. "Actual rate of the management fee in mutual funds of different styles," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 17(4), pages 969-1014, December.

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