Mutual Fund Performance in Slovenia: An Analysis of Mutual Funds with Investment Policies in Europe and the Energy Sector
This paper examines the risk and return performance of mutual funds in Slovenia from 2005 until August 2009. The research is limited to the regional investment policies in Europe and the energy sector. Using monthly returns, we analyzed different risk-adjusted measures such as: the Treynor ratio, the Sortino ratio and the Information ratio. We also studied selections and timing ability using the Treynor-Mazuy model. The risk and return performance of mutual funds in the Slovenian market does not deviate from those in developed markets. We also found out that the selection ability of fund managers is better than market timing and that the findings of this paper are in accordance with other international studies.
Year of publication: |
2011
|
---|---|
Authors: | Tanja, Hribernik ; Uroš, Vek |
Published in: |
South East European Journal of Economics and Business. - De Gruyter Open. - Vol. 6.2011, 1, p. 61-69
|
Publisher: |
De Gruyter Open |
Subject: | mutual funds | investment policy | risk adjusted measures | Slovenia | Europe |
Saved in:
Online Resource
Saved in favorites
Similar items by subject
-
Tanja, Hribernik MarkoviÄ, (2011)
-
A performance evaluation of ethical mutual funds : evidence from India
Kaur, Jasvinder, (2021)
-
Bubble thy neighbor : portfolio effects and externalities from capital controls ; conference paper
Forbes, Kristin, (2013)
- More ...