Performance Evaluation of Polish Mutual Fund Managers

23 Pages Posted: 23 Apr 2008 Last revised: 24 Jun 2008

See all articles by Pawel Rzezniczak

Pawel Rzezniczak

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Laurens Swinkels

Erasmus University Rotterdam (EUR); Robeco Quantitative Investments

Multiple version iconThere are 2 versions of this paper

Date Written: April 1, 2008

Abstract

This study aims at evaluating the performance of mutual fund managers in one of the fastest growing financial markets in emerging Europe. We use well-known performance evaluation measures to investigate whether private investors in Poland have benefited from investing in mutual funds. Our analysis focuses on returns over the period 2000-2007 for three categories of mutual funds: (1) equity, (2), bond, and (3) balanced mutual funds. Our results indicate that mutual funds in each of these three categories have positive, but insignificant selectivity skill, indicating that a private investor would not have been worse of by investing in mutual funds. We do not find any evidence of equity or bond market timing skill by Polish mutual funds. This conclusion does not depend on our choice of evaluation model taking into account the direction and/or the magnitude of the market return.

Keywords: Emerging Markets, Mutual funds, Performance Evaluation, Poland

JEL Classification: G10, G20

Suggested Citation

Rzezniczak, Pawel and Swinkels, Laurens, Performance Evaluation of Polish Mutual Fund Managers (April 1, 2008). Available at SSRN: https://ssrn.com/abstract=1124363 or http://dx.doi.org/10.2139/ssrn.1124363

Pawel Rzezniczak

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )

P.O. Box 1738
3000 DR Rotterdam, NL 3062 PA
Netherlands

Laurens Swinkels (Contact Author)

Erasmus University Rotterdam (EUR) ( email )

Burgemeester Oudlaan 50
3000 DR Rotterdam, Zuid-Holland 3062PA
Netherlands

Robeco Quantitative Investments ( email )

Rotterdam, 3000
Netherlands
+31 10 224 2470 (Phone)
+31 10 224 2110 (Fax)

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