Performance evaluation of investment (mutual) funds

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Collection:
Mokslo publikacijos / Scientific publications
Document Type:
Straipsnis / Article
Language:
Anglų kalba / English
Title:
Performance evaluation of investment (mutual) funds
Alternative Title:
Investicinių fondų veiklos vertinimas
Authors:
In the Journal:
Verslas: teorija ir praktika [BTP] [Business: theory and practice]. 2014, t. 15, Nr. 4, p. 398-407
Subject Category:
LT
Investicijos / Investments.
Summary / Abstract:

LTInvesticinių fondų efektyvumas – vienas pagrindinių fondų veiklos rezultatų vertinimo komponentų. Šiuo tyrimu siekiama nustatyti rizikos ir veiklos vertinimo rodiklius ir juos palyginti tarpusavyje. Straipsnio tikslas – apskaičiuoti rodiklius ir išrinkti, kuriuos iš jų geriausia naudoti norint įvertinti Lietuvos investicinių fondų veiklą. Moksliniai tyrimai rodo, kad standartinis nuokrypis, alfa, beta, Sharpe ir Treynor rodikliai yra dažniausiai naudojami norint nustatyti investicinių fondų veiklos rezultatus. Investiciniai fondai lyginami su jų lyginamuoju indeksu, norint nustatyti, ar verta mokėti valdymo mokesčius investiciniams bankams už investicinių fondų valdymą. Tyrimui pasirinkti istoriniai mėnesio duomenys nuo 2012-01-02 iki 2013-10-15. [Iš leidinio]Reikšminiai žodžiai: Investavimas; Finansinis sprendimas; Investiciniai fondai; Diversifikavimas; Investments; Financial decision; Investment (mutual) funds; Diversification.

ENThe efficiency of an investment fund is one of the main components in evaluating the performance of the fund. This study seeks for introducing and comparing risk and performance evaluation ratios. The paper is aimed at testing the worked out ratios and at distinguishing between the best ones for the purpose of evaluating the performance of Lithuanian mutual funds. Scientific studies show that a standard deviation, alpha, beta, Sharpe and Treynor ratios are mostly employed for identifying the performance of mutual funds that are also compared with their benchmark index to establish if these funds are outperformed and if is it worth paying management fees to investment banks for managing mutual funds. Historical data were selected for the period from 2012-01-02 to 2013-10-15 analysing the prices of monthly funds. The paper points out the areas of a practical application of the proposed model for investment fund valuation, which may not only provide valuable outcomes for practitioners but also may inspire further research on this article. [From the publication]

DOI:
10.3846/btp.2014.421
ISSN:
1648-0627; 1822-4202
Subject:
Ekonomika / Economics
Related Publications:
The analysis of mutual funds’ performance in Lithuanian financial market / Povilas Vyšniauskas, Viktorija Stasytytė. Contemporary Issues in Business, Management and Education. International Scientific Conference. 2017. P. 98-104.
Permalink:
https://www.lituanistika.lt/content/57474
Updated:
2025-02-21 14:37:51
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