Selectivity and market timing ability of Poland fund managers: Analysis of selected equity funds



Purpose. The main purpose of the paper is empirically evaluating selectivity skills and market timing ability of Polish fund managers.


Methodology. This paper investigates eighteen equity mutual funds by using weekly mutual fund returns over the period from January 2009- November 2014. The period referred to as the term of analysis coincides with the period of quantitative easing during which the developing economies in financial markets have been influenced dramatically. During the study period, WSE has climbed from 27680,04 to 53949,58 increasing 33,4% annually on averages, during this 5-year 10-month period in which the relevant quantitative easing period experienced. Jensen’s Alpha and Treynor&Mazuy regression analysis methods are applied so as to measure selective ability and market timing of fund managers, respectively. Fund performances are evaluated using Warsaw Stock Exchange Index as the benchmark index.


Results. Except for a single fund, betas of funds are computed less than 1, which means that funds are less risky than the Warsaw Stock Exchange. The results reveal that only two funds have positive Jensen alphas that are not statistically significant. According to Treynor&Mazuy(1966) model, solely three funds are positive but statistically insignificant. The study concludes that fund managers don’t have selective and market timing ability.


The theoretical contribution. Studies on fund manager performance are scant in Poland as in other emerging economies. The study aims to contribute academic literature for following studies about Polish mutual fund performance. At the same time, the study can be guiding especially for investors who are interested in Polish equity fund performances in a period where emerging stock markets outperformed with quantitative easing.


Practical implications (if applicable). The study suggests that Polish equity fund performances could not outperform the Polish stock index either in selective or in market timing ability. In this era of quantitative easing, which lasted 5 years and 10 months, Polish stock market increased 33,4% annually on average. However, among 18 equity funds studied, neither of them could outperform the Polish index.

Keywords: Polish funds, selectivity skills, market timing, performance evaluation, equity funds.

Paper type: Research paper.


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Brno University of Technology Tallinn University of Technology