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Performance Measurement Of Ucits Investment Funds In Croatia

Author

Listed:
  • Curkovic, Marko

    (Stedbanka d.d., Zagreb)

  • Kristo, Jaksa

    (University of Zagreb, Faculty of Economics and Business, Zagreb)

Abstract

UCITS investment funds represent an important investment opportunity for retail, as well for institutional investors in the European Union. The aim of this paper is to analyse the performance of the UCITS investment funds in Croatia and to detect relatively homogeneous groups among the UCITS funds based on its performance. The analysis includes 55 UCITS, in the period from the beginning of 2011 until the end of 2014, and it is conducted on daily data of share prices, available from Bloomberg terminal. Analysis is performed separately within the groups of different investment fund by investment strategy. The research methodology is based on the calculation of various indicators of absolute and relative risk-adjusted performance and riskiness of the funds. In general, based on analysis of performance measures, it can be concluded that funds with higher values of net assets were more successful compared to the funds with below-average asset values. Also, funds with below-average values of net assets were more volatile. At the same time, funds run by foreign own management companies were more successful by the absolute performance measures, compared to funds run by management companies with domestic ownership. On the other hand, those funds were more volatile, aswell.

Suggested Citation

  • Curkovic, Marko & Kristo, Jaksa, 2017. "Performance Measurement Of Ucits Investment Funds In Croatia," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 8(1), pages 11-18.
    • Handle: RePEc:ris:utmsje:0194
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    File URL: http://utmsjoe.mk/files/Vol.%208%20No.%201/UTMSJOE-2017-0801-02-Curkovic-Kristo.pdf
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    References listed on IDEAS

    as
    1. S. P. Kothari & Jerold B. Warner, 2001. "Evaluating Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 56(5), pages 1985-2010, October.
    2. Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Silvio John Camilleri & Ritienne Farrugia, 2018. "The Risk-Adjusted Performance of Alternative Investment Funds and UCITS: A Comparative Analysis," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(7), pages 1-23, July.

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    More about this item

    Keywords

    absolute risk-adjusted performance; relative risk-adjusted performance; Sharpe ratio; Information ratio;
    All these keywords.

    JEL classification:

    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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