Is Mutual Fund Performance Persistent? Evidence from the Polish Market?

Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse. Rynki finansowe. Ubezpieczenia 2010 | nr 25 | 155-164

Posted: 5 Nov 2013 Last revised: 10 May 2016

See all articles by Adam Zaremba

Adam Zaremba

Poznań University of Economics and Business; University of Dubai

Date Written: March 21, 2011

Abstract

The paper addresses an issue of the performance persistence in a mutual fund market. The study focuses especially on the evidence from Poland. The past performance of mutual funds is widely regarded as a key criterion in investment decision making in Poland nowadays, whereas existing empirical evidence does not confirm its predictive power. The paper consists of three main parts. The first is a review of existing academic evidence of the performance persistence. The second is the analysis of the performance persistence among Polish equity and money market funds in years 1998-2009. Three methods of analysis are employed: quartile analysis, raw-data correlation and rank correlation. The last section of the article consists of conclusions and recommendations. The study confirms existence of the persistence in raw returns and risk-adjusted returns among the Polish money market funds but not among the equity funds. There is also a strong evidence of the volatility persistence in the both group of mutual funds.

Keywords: mutual funds, performance persistence, Polish financial market

JEL Classification: G11, G14, G17

Suggested Citation

Zaremba, Adam, Is Mutual Fund Performance Persistent? Evidence from the Polish Market? (March 21, 2011). Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse. Rynki finansowe. Ubezpieczenia 2010 | nr 25 | 155-164. Available at SSRN: https://ssrn.com/abstract=2349905 or http://dx.doi.org/10.2139/ssrn.2349905

Adam Zaremba (Contact Author)

Poznań University of Economics and Business ( email )

al. Niepodległości 10
Poznań, 61-875
Poland

HOME PAGE: http://adamzaremba.pl

University of Dubai ( email )

Academic City
Dubai, 14143
United Arab Emirates

HOME PAGE: http://adamzaremba.pl/

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