Zastosowanie analizy falkowej w ocenie efektywności funduszy inwestycyjnych
Mutual funds performance measurement – wavelets ana-lysis approach

Summary/Abstract: The study is to evaluate and compare the performance of investment funds. The proposed approach evaluates the effectiveness of the fund's investment strategy in terms of the investment horizon and the frequency of data used for the evaluation process portfolio performance. As a tool wavelet analysis was used that was applied to the decomposition of the excess returns of funds for the six scales. Sharpe ratios calculated on the basis of the so-transformed series formed the basis for the arrangement of funds. Rankings obtained for the six scales used did not yield a consistent classification. The results of a comparative analysis of investment funds open-end and closed-end showed that investment funds open-end were much better in the period than closed-end funds. The results of a persistence analysis of investment funds showed that results for the 1 scale from the first subsample were consistent with the total rate of return from the second subsample.

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