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Short-, medium- and long-run performance persistence of investment funds in Poland

Author

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  • Stanisław Urbański

    (AGH University of Science and Technology)

Abstract

The author examines short-, medium- and long-run performance persistence in the assets of money, bond and stock funds listed on the Polish market in 2000–2012. It is a continuation of the author’s previous work concerning long-run persistence of returns and investment risk in rolled five-year sub-periods. The safe, hybrid and stock fund portfolios are formed on the basis of tested funds. The persistence of returns and the revised Sharpe ratio are investigated in rolled 1-, 2-, 3-, 4- and 5-year sub-periods, with a one year step. Also, performance persistence is assessed using the classic CAPM as well as classic and modified Fama-French models, which allow for evaluating management skills. Fouryear and five-year persistence of the revised Sharpe ratio of money and bond funds is found to occur. One can assume the occurrence of 4-year average return reversal for hybrid funds, and 2-year return and the revised Sharpe ratio persistence of stock fund portfolios. The CAPM and Fama-French model simulations of returns indicate stability management skills of stock and hybrid funds in 1-year subperiods, as well as varying management skills of stock, hybrid and safe funds in 5-year sub-periods. monetary policy.

Suggested Citation

  • Stanisław Urbański, 2017. "Short-, medium- and long-run performance persistence of investment funds in Poland," Bank i Kredyt, Narodowy Bank Polski, vol. 48(4), pages 343-374.
    • Handle: RePEc:nbp:nbpbik:v:48:y:2017:i:4:p:343-374
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    References listed on IDEAS

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    More about this item

    Keywords

    performance persistence; investment funds performance; Fama-French model;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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