Polish Absolute Return Funds And Stock Funds. Short And Long Term Performance Comparison

Katarzyna Perez

Abstract

In this paper I focus on analyzing whether Polish absolute return funds, which I call quasi-hedge funds, add value to a portfolio of an individual investor by reaching higher returns than Polish stock funds. I use a sample of 25 Polish absolute return investment funds to contrast their short and long term performance, measured by Sharpe, Sortino and Jensen ratios, to the short and long term performance of 20 biggest Polish stock funds and build rankings based on that performance. Later I build funds of funds (with a different number of stock funds and/or quasi-hedge funds) and check which of them is the most efficient. I find out that in both short and long term Polish quasi-hedge funds have better returns than stock funds and they add much value to the investors’ portfolios. It can be explained by the fact that they are much smaller and younger than traditional funds, so they have much higher potential to grow and reach abnormal returns.
Author Katarzyna Perez (WE / KTPiPP)
Katarzyna Perez,,
- Department of Money Theory and Monetary Policy
Journal seriesFolia Oeconomica Stetinensia, ISSN 1730-4237, e-ISSN 1898-0198, (B 11 pkt)
Issue year2014
Vol14
No2
Pages179-197
Publication size in sheets0.9
Keywords in Englishabsolute return funds, mutual funds, performance, Poland
DOIDOI:10.1515/foli-2015-0016
Languageen angielski
Score (nominal)11
Score sourcejournalList
ScoreMinisterial score = 10.0, 13-12-2019, ArticleFromJournal
Ministerial score (2013-2016) = 11.0, 13-12-2019, ArticleFromJournal
Citation count*7 (2020-08-12)
Cite
Share Share

Get link to the record


* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
Back
Confirmation
Are you sure?