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Issue 9 (3) 2010 pp. 169–180

Krzysztof Kompa, Dorota Witkowska

COMPARISON OF THE OPEN INVESTMENT FUNDS EFFICIENCY AT BULL AND BEAR MARKETS

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.
pub/9_3_169.pdf Full text available in in Adobe Acrobat format:
http://www.oeconomia.actapol.net/volume9/issue3/9_3_169.pdf

For citation:

MLA Kompa, Krzysztof, and Dorota Witkowska. "COMPARISON OF THE OPEN INVESTMENT FUNDS EFFICIENCY AT BULL AND BEAR MARKETS." Acta Sci.Pol. Oeconomia 9.3 (2010): 169–180.
APA (2010). . Acta Sci.Pol. Oeconomia 9 (3), 169–180
ISO 690 KOMPA, Krzysztof, WITKOWSKA, Dorota. COMPARISON OF THE OPEN INVESTMENT FUNDS EFFICIENCY AT BULL AND BEAR MARKETS. Acta Sci.Pol. Oeconomia, 2010, 9.3: 169–180.
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Streszczenie w języku polskim:
http://www.oeconomia.actapol.net/tom9/zeszyt3/abstrakt-169.html