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Equity Fund Performance and Sector Diversification

Author

Listed:
  • Mihovil An?elinovi?

    (Faculty of Economics and Business, University of Zagreb)

  • Ana Pavkovi?

    (Faculty of Economics and Business, University of Zagreb)

  • Livija Valenti?

    (Faculty of Economics and Business, University of Zagreb)

Abstract

This paper examines the performance of equity funds relative to the diversification of their portfolios. The main objective of the research is to determine how the allocation of investment in individual sectors affects the yield of equity funds in the Republic of Croatia. Six equity funds which were selected, invested more than 50% of their assets in sectors in the Republic of Croatia. An unbalanced dynamic panel model is estimated for the period from January 2012 to August 2017. Investing in tourism and industry has proved to be the most significant investment and it has a positive effect on the fund yields, whereas significant negative impact has been discovered in consumer goods, funds and conglomerates and the state sector. The macroeconomic environment was studied in order to put the conclusions of econometric analysis into the actual context. The conducted empirical analysis suggests that portfolio managers should pay more attention to macroeconomic conditions and trends in economic sectors if they want to achieve higher returns.

Suggested Citation

  • Mihovil An?elinovi? & Ana Pavkovi? & Livija Valenti?, 2018. "Equity Fund Performance and Sector Diversification," Proceedings of International Academic Conferences 6710018, International Institute of Social and Economic Sciences.
    • Handle: RePEc:sek:iacpro:6710018
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    File URL: https://iises.net/proceedings/41st-international-academic-conference-venice/table-of-content/detail?cid=67&iid=006&rid=10018
    File Function: First version, 2018
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    More about this item

    Keywords

    asset liability management; equity funds; sector diversification; panel data model; Croatia;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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