Budowa mierników syntetycznych do oceny efektywności europejskich funduszy inwestycyjnych
Construction of synthetic measures to evaluate the efficiency of european mutual funds
Author(s): Dorota WitkowskaSubject(s): Economy, Supranational / Global Economy, Methodology and research technology, Financial Markets
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: synthetic measure; investment efficiency; Sharpe; Treynor and Jensen ratios;
Summary/Abstract: The aim of the research is construction of aggregated measures that allow to evaluate the performance of mutual funds operating at panEuropean market. The synthetic measures base on well known efficiency indexes i.e. Sharpe, Treynor and Jensen ratios as well as returns. Empirical research concerns 18 selected European mutual funds, 4 different markets indexes e.g. Euro STOXX 50, DAX, CAC 40 and FTSE 100 and 6 samples distinguished from the period 15.09. 2006 - 20.01.2012. It is showed that application of aggregated measures let the synonymous evaluation and ranking of mutual funds.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XIII/2012
- Issue No: 3
- Page Range: 262-275
- Page Count: 14
- Language: Polish