THE ANALYSIS OF THE MANAGEMENT OF ROMANIAN INVESTMENT FUNDS USING ECONOMETRIC METHODS
THE ANALYSIS OF THE MANAGEMENT OF ROMANIAN INVESTMENT FUNDS USING ECONOMETRIC METHODS

Summary/Abstract: The object of this particular research paper is the analysis of all five investment funds in Romania, having five or more years of continuous activity on the Romanian capital market, through 60 monthly probes. Within a context of a macroeconomic environment characterized by uncertainty, a correct assessment of an investment prior to its inception becomes impetuously necessary. The starting point of this research was facilitated by similar studies in the field such as Sinclair (1990) Phoon, Tan (1993), Gallo, and Swanson (1996). The methodology of research includes testing of managerial abilities based on the established models of Jensen (1968), and Henriksson , and Merton (1984). The added value of this paper consists in the inclusion of two other aspects: namely the yield and the global risk associated to the portfolio using the CAPM model and the stationarity analysis of the series based on the Ljung-Box and the Box-Pierce tests. One of the conclusions of this research was that none the fund managers have either “selection ability” or “timing ability”. However, risk and return analysis determined that the same group of managers achieved a harmonious grouping of the companies in their respective portfolios. As a result of the analysis performed, all data series were proven to be non-stationary, the funds themselves presenting a type DSP non-stationarity compared to the TSP type non-stationarity of the BET index series. Therefore, we used differentiation for the fund share price value and we have eliminated the trend of the BET index series using the Moving Average.

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