Returns on performance measure-based investment fund selection strategies in Poland, 2002-2011

• Autorzy: Wojciech Grabowski , Rafał Kurek
• Języki publikacji: EN

Abstrakty

EN

The objective of this note is to find out if some simple performance measures can be useful in the actual fund selection decision. The research is based on a sample of investment funds in Poland from the recent years and covers both major bull and bear market periods. (fragment of text)

Słowa kluczowe

PL

Fundusze inwestycyjne; Decyzje inwestycyjne; Strategia inwestycyjna

EN

Investment funds; Investment decisions; Investment strategy

• Czasopismo: Ekonomia / Uniwersytet Warszawski
• Rocznik: 2012
• Numer: nr 29
• Strony: 145-151

Twórcy

autor

Wojciech Grabowski

• University of Warsaw, Poland

autor

Rafał Kurek

• University of Warsaw, Poland

Bibliografia

• Alexander G.J., A. M. Baptista, 2006, "Portfolio selection with a drawdown constraint," Journal of Banking & Finance, No. 30, p. 3171-3189.
• Bali T.G., S.J. Brown, K. O. Demirtas, 2012, "Do hedge funds outperform stocks and bonds?" McDonough School of Business, Georgetown University, Working paper available at ssrn.com.
• Goetzmann, W. N., J. E. Ingersoll, M. Spiegel, I. Welch, 2007, "Portfolio performance manipulation and manipulation-proof performance measures," Review of Financial Studies, No. 20, p. 1503-1546.
• Sharpe W. F., 1994, "The Sharpe ratio," Journal of Portfolio Management, No. 21(1), p. 49-58.