Please use this identifier to cite or link to this item:https://hdl.handle.net/20.500.12259/91391
Type of publication: Straipsnis kitose duomenų bazėse / Article in other databases (S4)
Field of Science: Ekonomika / Economics (S004)
Author(s): Aleknevičienė, Vilija;Žvinklytė, Laura
Title: Baltijos šalių biržose prekiaujamų investicinių fondų efektyvumo vertinimas rizikos-pelningumo požiūriu
Other Title: Assessment of Risk-Adjusted Performance of Investment Funds Traded in the Stock Exchange of the Baltic Countries
Is part of: Socialiniai tyrimai = Social research. Šiauliai : Šiaulių universiteto leidykla., 2017, Nr. 1 (40)
Extent: p. 5-16
Date: 2017
Note: eISSN 2351-6712
Keywords: investiciniai fondai;efektyvumas;rizika;pelningumas;asimetriškumas;eksceso koeficientas;investment funds;risk-adjusted performance;risk;return;asymmetry;kurtosis
Abstract: Pastaruoju metu investicinių fondų efektyvumui vertinti mokslininkai skiria itin daug dėmesio. Nepaisant to, menkai tyrinėjamas investicinių fondų pelningumų asimetriškumas ir pelningumų skirstinio lėkštumas arba smailumas, dėl to neretai pervertinamas arba nepakankamai įvertinamas jų efektyvumas. Be to, iki šiol dauguma mokslinių tyrimų atlikta gerai išvystytose ir efektyvesnėse finansų rinkose. Šiame straipsnyje tiriamas Baltijos šalių biržose prekiaujamų investicinių fondų efektyvumas pasitelkiant Sharpe ir Sortino rodiklius bei asimetrijos ir eksceso koeficientus. Tyrimo rezultatai atskleidė, kad Baltijos šalių biržose prekiaujamų investicinių fondų pelningumai pasižymi kairiuoju asimetriškumu. Tai rodo, kad Sharpe rodiklis pervertina efektyvumą. Koreliacija tarp Sharpe ir Sortino rodiklių yra beveik tiesinė. Tai suponuoja išvadą, kad investiciniai fondai gali būti vienodai ranguojami pagal abu rodiklius
Recently, researchers have been paying increasingly more attention to risk-adjusted performance of investment funds. Nevertheless, the asymmetry, the smoothness or the peakedness of returns have been poorly explored. In addition, most researches have been carried out in well developed, liquid and efficient markets. In this study, risk-adjusted performance of investment funds traded in the stock exchange of the Baltic countries was assessed using Sharpe and Sortino ratios as well as skewness and kurtosis. There are 38 investment funds traded in the stock exchange of the Baltic countries. However, most of these funds have been offered to public only recently. Thus, in order to have a research period as long as possible, only 14 funds were selected: 4 equity funds, 4 bond funds and 6 funds of funds. The period of investigation is 2008-2016. The research results revealed that only bond funds and one equity fund (ZPR Global Equity) were efficient in 2008-2016. This equity fund mostly invested in companies from the USA, where the economy, hit by the financial crisis, began to grow at a fast pace. All funds of funds were inefficient. This research was conducted in a relatively illiquid and inefficient market, but the investors’ behaviour during the economic downturn and slow growth period was the same as in efficient markets: they shifted their investments from equities to bonds. Consequently, additional demand increased bond market prices and returns. Despite the fact that only bond funds were efficient, their skewness and kurtosis were negative and greater in comparison with equity funds and funds of funds – the return distribution in bond had a greater downside. Moreover, bond funds were: 1) more overestimated by Sharpe ratio than equity funds and funds of funds; 2) their return distribution had a greater gain/loss than could be expected from a normal distribution
Internet: https://hdl.handle.net/20.500.12259/91391
Affiliation(s): Vytauto Didžiojo universitetas
Žemės ūkio akademija
Appears in Collections:Universiteto mokslo publikacijos / University Research Publications

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