COMPARISON OF THE OPEN INVESTMENT FUNDS EFFICIENCY AT BULL AND BEAR MARKETS
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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.
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Kompa, K., & Witkowska, D. (2010). COMPARISON OF THE OPEN INVESTMENT FUNDS EFFICIENCY AT BULL AND BEAR MARKETS. Acta Scientiarum Polonorum. Oeconomia, 9(3), 169–180. Retrieved from https://aspe.sggw.edu.pl/article/view/700
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