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.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
