Zastosowanie wybranych miar zysków i strat do badania efektywności inwestycyjnej funduszy akcyjnych w latach 2007-2015
Application of Selected Measures of Gains and Losses for Testing the Effectiveness of the Investment Equity Funds in the Years 2007–2015

Summary/Abstract: Purpose – The aim of the study was to evaluate the investment results achieved by equity funds and their stability. Design/Methodology/approach – In the paper applied measures related to the drawdown ie. gain-loss and Martin indicators. The research involved sixteen equity funds in the period 2007–2015, which was divided into sub-periods of the length of two, three and four years. Also examined the stability of the rankings of the funds mobtained in the each sub-periods using Spearman’s rank correlation coefficient if the results of management are able to hold a longer period of time. Findings – The results are mostly unsatisfactory for the investor. They also indicate the lack of leaders in sub-periods of the length of four years. In shorter periods (2-, 3-years) only in one case there is a correlation significantly different from zero. Originality/Value – The work is a continuation of research based largely on the classic indicators, ie. Sharpe, Treynor and Jensen ratios.

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