Pomiar efektywności inwestycyjnej funduszy akcyjnych w latach 2004-2014 przy użyciu miar obsunięcia kapitału
The measurement of effectiveness of investment equity funds in the period 2004-2014 using drawdown measures

Summary/Abstract: In the paper measures related to the drawdown ie. Martin and Pain indicators are applied. The research concerned equity funds in the period 2004-2014, which was divided into sub-periods of the length of two, three, four and five years. Martin and Pain ratios were assigned for monthly units of equity funds. The results for the funds were compared with the values obtained for the benchmark, which was the WIG index. The stability of the rankings funds using the Spearman rank correlation coefficient between each subperiods was examined and its significance was verified. Equity funds in the years 2004-2014 in the majority achieved werse results than the benchmark (which was WIG index). Lengthening the time horizon deteriorates stability funds.

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