Ocena stabilności wyników funduszy społecznie odpowiedzialnych na podstawie wybranych miar efektywności relatywnej
Evaluation of the Stability of Investment Results Obtained by Socially Responsible Funds With the Use of Selected Relative Efficiency Measures

Summary/Abstract: Purpose – The aim of this paper is to analyse the stability of investment results obtained by socially responsible funds in Poland with the use of selected relative efficiency measures. Design/Methodology/approach – Rankings of investment funds depend on the effectiveness measures chosen for the comparisons of funds – however irrespective of the measures chosen there seem to be a lack of long-term leaders in those rankings. For that reason this study aims to measure the stability of selected ethical funds with the use of the following indicators: modified Sharpe’s ratio, Sortino’s ratio, and the information ratio. The study has been carried out on the investment results of five selected socially responsible funds that were active as of the end of 2015. The study period has been divided into: two-year, three-year, and six-year sub-periods, with rankings created for each sub-period. The stability of results was measured with the use of Spearman’s rank correlation coefficient. Findings – The obtained results allow to conclude that: a significant tendency for maintaining the ranking positions by the analysed funds can be observed for the two-year and three-year periods. Originality/Value – To the best of the authors knowledge, this article is one of the first studies in Poland to formulate rankings of socially responsible funds with the use of relative efficiency measures, and to measure the stability of investment results obtained by those funds.

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