1 / 11

Performance Analysis of Baltic Equity Funds: A Comprehensive Study

This study provides an in-depth analysis of the performance of Baltic equity funds, evaluating 30 local domiciled funds. The research highlights the development level of the Baltic investment funds market, including total assets by country and fund types. Performance metrics such as raw returns, Sharpe ratio, Jensen's alpha, and Treynor-Mazuy model are employed to assess fund performance against benchmarks like the OMX Baltic Benchmark General Index and MSCI Emerging Markets Eastern Europe Standard. The findings reveal a significant number of funds outperforming these indices, providing valuable insights for investors.

gerda
Télécharger la présentation

Performance Analysis of Baltic Equity Funds: A Comprehensive Study

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. ThePerformanceofBalticEquityFunds TatjanaParfjonova University of Latvia Faculty of Economics and Management Aspazijas Boulevard 5, Riga, LV-1010 E-mail: tatjana_parfjonova@inbox.lv

  2. The Baltic investment funds market – level of development

  3. Structure of Baltic investment funds market – total assets in breakdown by country

  4. Structure of Baltic investment funds market – number of funds in breakdown by type

  5. Methodology and data (1) • Choice of data • 30 Baltic local domiciled equity funds; • risk free rate – interest rate on Germany’s government 10 years bonds; • benchmark portfolios – OMX Baltic Benchmark General Index (OMXBBGI) and MSCI Emerging Markets Eastern Europe Standard (MSCI EMEE)

  6. Methodology and data (2) Measures and models used to estimate performance of the funds: • Raw returns • Sharpe ratio; • M-square; • Jensen’s alpha; • Treynor- Mazuy model; • Henriksson- Merton model.

  7. The results of the performance analysis • Average daily returns: • 12 equity funds exceeded return of MSCI Emerging Markets Eastern Europe Standard Index; • 7 equity funds exceeded average returns of both indeces. • Risk adjusted performance measures: • Sharpe ratio and M-square indicated that majority of Baltic equity funds performed better than MSCI Emerging Markets Eastern Europe Standard Index but worse than OMXBBGI. • Jensen alpha: • 3 funds outperformed OMXBBGI; • 12 funds outperformed MSCI Emerging Markets Eastern Europe Standard Index • The market timing ability of the fund managers is negative or non-existent.

  8. 1.Selecting measures used in creation of the rating. The methodology of creating Baltic equity funds rating 2.Ranking of investment funds by each of the chosen measures. 3.Scoring (for each measure separately) and calculation of sum of scores 4.Ranking the investment funds by sum of scores THE RATING IS OBTAINED

  9. Measures selected for creating the rating • Average return; • M-square; • Jensen alpha, obtained from CAPM.

  10. The rating of Baltic equity funds– six best funds

  11. ThePerformanceofBalticEquityFunds TatjanaParfjonova University of Latvia Faculty of Economics and Management Aspazijas Boulevard 5, Riga, LV-1010 E-mail: tatjana_parfjonova@inbox.lv

More Related