EJPAU 2016. Kozak S. , Ochnio E. DID THE FINANCIAL CRISIS IMPACT THE LEVEL OF INVESTMENT EFFICIENCY OF EQUITY INVESTMENT FUNDS IN POLAND?

Electronic Journal of Polish Agricultural Universities (EJPAU) founded by all Polish Agriculture Universities presents original papers and review articles relevant to all aspects of agricultural sciences. It is target for persons working both in science and industry,regulatory agencies or teaching in agricultural sector. Covered by IFIS Publishing (Food Science and Technology Abstracts), ELSEVIER Science - Food Science and Technology Program, CAS USA (Chemical Abstracts), CABI Publishing UK and ALPSP (Association of Learned and Professional Society Publisher - full membership). Presented in the Master List of Thomson ISI.

2016
Volume 19
Issue 2

Topic:

Economics

ELECTRONIC
JOURNAL OF
POLISH
AGRICULTURAL
UNIVERSITIES

Kozak S. , Ochnio E. 2016. DID THE FINANCIAL CRISIS IMPACT THE LEVEL OF INVESTMENT EFFICIENCY OF EQUITY INVESTMENT FUNDS IN POLAND?, EJPAU 19(2), #03.
Available Online: http://www.ejpau.media.pl/volume19/issue2/abs-03.html

DID THE FINANCIAL CRISIS IMPACT THE LEVEL OF INVESTMENT EFFICIENCY OF EQUITY INVESTMENT FUNDS IN POLAND?

Sylwester Kozak, Emil Ochnio
Faculty of Economic Sciences, Warsaw University of Life Sciences - SGGW, Poland

ABSTRACT

Using the monthly data from 26 equity investment funds operating continuously in Poland in 2005–2014, it was found that the financial crisis contributed to a significant reduction in the efficiency of the funds from 2008 onwards. Rates of return which funds achieved in the following years were many times lower than during the pre-crisis period. Risk mitigation strategy could cause that in times of the economic growth the performance of funds were weaker than the market, but oppositely better than the market in periods of crisis and economic slowdown. The negative impact of the crisis on funds’ performance is also confirmed by the declining values of the Sharpe index. The level of risk indicates that an additional risk taken by funds increased their rates of return in good times, but even more weakened them in the periods of economic downturn. The level of this correlation depends on the dynamics of changes in the stock market.

Key words: investment funds, efficiency of funds, investment risk, Sharpe index.

Sylwester Kozak
Faculty of Economic Sciences, Warsaw University of Life Sciences - SGGW, Poland
161 Nowoursynowska Str., 02-787 Warsaw, Poland
email: sylwester_kozak@sggw.pl

Emil Ochnio
Faculty of Economic Sciences, Warsaw University of Life Sciences - SGGW, Poland
161 Nowoursynowska Str., 02-787 Warsaw, Poland

Responses to this article, comments are invited and should be submitted within three months of the publication of the article. If accepted for publication, they will be published in the chapter headed 'Discussions' and hyperlinked to the article.