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Assessing the performance of mutual funds with multifactor asset pricing models

Author

Listed:
  • Artur A. Trzebiński

    (Wroclaw University of Economics and Business)

Abstract

The subject of the article is assessing the performance of mutual funds. The main goal of the study is to indicate which multifactor asset pricing model fits the performance of the Polish mutual funds the best. Another objective is to examine the impact of risk factors on the excess returns of the Polish mutual funds. In the study, Carhart’s model and the three-, five- and six-factor Fama and French models were used. The main outcomes are as follows: (1) the Fama and French six-factor model best explains the performance of Polish equity mutual funds, (2) the size factor and the profitability factor has a positive, significant impact and the investment factor has a negative, significant impact on mutual funds’ performance, (3) the momentum factor delivers insignificant alpha and the value factor is associated with an insignificant and negative alpha.

Suggested Citation

  • Artur A. Trzebiński, 2022. "Assessing the performance of mutual funds with multifactor asset pricing models," Bank i Kredyt, Narodowy Bank Polski, vol. 53(1), pages 79-106.
    • Handle: RePEc:nbp:nbpbik:v:53:y:2022:i:1:p:79-106
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    effectiveness; mutual funds; multifactor asset pricing model; risk factor;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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