Mutual Fund Ex-post Performance Measurement – evaluation and comparative analysis of open-end and closed-end funds
Journal Title: Zarządzanie i Finanse - Year 2014, Vol 12, Issue 2
Abstract
The study is to evaluate and compared the performance of the open-end and closed-end investment funds. The proposed approach evaluates effectiveness of the fund‘s investment strategy in terms of the investment horizon and the frequency of data used for the evaluation process portfolio performance. As a tool used wavelet analysis that has been applied to the decomposition of the excess returns of funds for the six scales. Sharpe ratios calculated on the basis of the so-transformed series formed the basis for the arrangement of funds. Rankings obtained for the six scales used did not yield consistent classification. Results of a comparative analysis of investment funds open-end and closed-end showed that much better in the period were investment funds open-end than closed-end funds.
Authors and Affiliations
Anna Zamojska
Keywords
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