Title
COMPARISON OF THE OPEN INVESTMENT FUNDS EFFICIENCY AT BULL AND BEAR MARKETS
Autor
Krzysztof Kompa, Dorota Witkowska
Keywords
investment funds, efficiency of investment, Sharpe coefficient, Treynor coefficient, Jensen coefficient, composite measure
Abstract
The aim of the research is evaluation of the open-end investment funds that operate at the Polish market in bull and bear markets. The analysis is provided for the rates of return of 18 investment funds, applying: Sharpe index, Treynor ratio, and Jensen index, in the period July, 1, 2005 – July, 31, 2009. Using these ratios we construct aggregated measures, and make a ranking of funds for boom and recession at the Warsaw Stock Exchange.
Pages
169-180
Cite
Kompa, K., Witkowska, D. (2010). COMPARISON OF THE OPEN INVESTMENT FUNDS EFFICIENCY AT BULL AND BEAR MARKETS. Acta Sci. Pol. Oeconomia, 9(3), 169-180.
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