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Multifactor models in the analysis of mutual fund effectiveness (Wieloczynnikowe modele w analizie efektywnosci funduszy inwestycyjnych)

Author

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  • Dariusz Filip

    (Uniwersytet Kardynala Stefana Wyszynskiego w Warszawie, Wydzial Nauk Historycznych i Spolecznych, Katedra Finansow)

Abstract

The aim of this paper is to examine the efficiency of Polish mutual funds. The applied performance measures are parameters of the models developed by Jensen, Fama-French and Carhart. By means of average returns, it is found that equity funds are not able to outperform the benchmark in a statistically significant manner and use premiums from factor-mimicking portfolios, with the exception of the size factor. In the frequency analysis, it was noted that negatively performing funds significantly predominate positively performing ones. This was observed especially in the periods of downward trends in financial markets. The lack of effectiveness is also confirmed in the analysis of the TSCS data for a relatively large study sample including 87 entities. A certain sensitivity of the size factor in performance can be noticed in this case.

Suggested Citation

  • Dariusz Filip, 2018. "Multifactor models in the analysis of mutual fund effectiveness (Wieloczynnikowe modele w analizie efektywnosci funduszy inwestycyjnych)," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 16(76), pages 61-81.
    • Handle: RePEc:sgm:pzwzuw:v:16:i:76:y:2018:p:61-81
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    Keywords

    effectiveness; mutual funds; factor mimicking portfolios;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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