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Performance Of Polish Real Estate Mutual Funds In The Period Of 2005-2011

Author

Listed:
  • Artur A. Trzebinski

    (Uniwersytet Ekonomiczny w Poznaniu)

Abstract

This study examines the performance of Polish real estate funds in the period of 2005-2011 using several different benchmarks. The second aim is to verify the research hypothesis: Polish real estate mutual funds were effective in the period of 2005-2011. To determine their effectiveness Sharpe ratio, Jensen and Jensen's Alpha were used. WIG index, WIG-Construction index and the real estate mutual funds index are used as the benchmarks. The risk-free asset is the return on 52-weeks Treasury bills. An important part of this paper is the study of Polish and foreign real estate mutual funds returns. In the review of literature particular attention was paid to the used methods. The article included nine funds and the results indicate that only two of them (in relation to all accepted benchmarks) were effective. In comparison, the real estate mutual funds index showed the effectiveness of six funds.

Suggested Citation

  • Artur A. Trzebinski, 2012. "Performance Of Polish Real Estate Mutual Funds In The Period Of 2005-2011," Oeconomia Copernicana, Institute of Economic Research, vol. 3(4), pages 59-71, December.
    • Handle: RePEc:pes:ieroec:v:3:y:2012:i:4:p:59-71
    DOI: 10.12775/OeC.2012.023
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    More about this item

    Keywords

    real estate mutual funds; performance of real estate mutual funds; CREF;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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