PERFORMANCE MEASUREMENT OF UCITS INVESTMENT FUNDS IN CROATIA
Journal Title: UTMS Journal of Economics - Year 2017, Vol 8, Issue 1
Abstract
UCITS investment funds represent an important investment opportunity for retail, as well for institutional investors in the European Union. The aim of this paper is to analyse the performance of the UCITS investment funds in Croatia and to detect relatively homogeneous groups among the UCITS funds based on its performance. The analysis includes 55 UCITS, in the period from the beginning of 2011 until the end of 2014, and it is conducted on daily data of share prices, available from Bloomberg terminal. Analysis is performed separately within the groups of different investment fund by investment strategy. The research methodology is based on the calculation of various indicators of absolute and relative risk-adjusted performance and riskiness of the funds. In general, based on analysis of performance measures, it can be concluded that funds with higher values of net assets were more successful compared to the funds with below-average asset values. Also, funds with below-average values of net assets were more volatile. At the same time, funds run by foreign own management companies were more successful by the absolute performance measures, compared to funds run by management companies with domestic ownership. On the other hand, those funds were more volatile, as well
Authors and Affiliations
Marko Curkovic, Jaksa Kristo
Keywords
Related Articles
- EP ID EP274281
- DOI -
- Views 108
- Downloads 0
SPECIFIC FORM OF SHORT-TERM FINANCING
The aim of this paper is to point out the significance and role of factoring as an alternative financing model, and its role in overcoming liquidity problems of business entities due to difficult and late payments as wel...
PORTFOLIO OPTIMIZATION ON CROATIAN CAPITAL MARKET
Purpose of this paper was to research portfolio optimization problem on Croatian capital market using Markowitz theory. Research systematically investigated the selection of securities, and defined the importance of usin...
YIELD CURVE IN BOSNIA AND HERZEGOVINA: FINANCIAL AND MACROECONOMIC FRAMEWORK
Finance and macroeconomics have different perspectives on the yield curve. In the case of Bosnia and Herzegovina, specific context, data issue and financial market that is in its developing phase, do not allow us to have...
FRUSTRATION OF WORKING AS A PROBLEM OF HUMAN RESOURCES MANAGEMENT
The development of human resources that finds an important practical application in enterprises from the developed world, account facts which refer to the conclusion that satisfaction of employee can greatly contribute t...
HEALTH TOURISM AND “SMART SPECIALISATION”
The Europe 2020 strategy mapped out the direction for the achievement of smart, sustainable and inclusive growth and development. The purpose of the paper is confirmation of the hypothesis that health tourism, in all its...