Rozkłady nadwyżkowych stóp zwrotu z funduszy inwestycyjnych – ocena historycznej premii za ryzyko
Distributions of excess returns from investment funfs – evaluation of historical premium for risk

Summary/Abstract: The aim of the study was to analyze the development of excess returns from the Polish open-ended funds and the assessment of the risk premium from the perspective of the individual investor. The study was conducted for stable growth, sustainable and equity funds in 2005–2017. Two investment horizons were adopted: 5-year and 10-year. The characteristics of excess return distributions and the chances of obtaining a positive excess return were calculated. It was found, among others: 1) the large variation in excess returns gives rise to doubts as to the appropriateness of the risk premium estimation as the average value for a given fund and for the whole group of funds; 2) the chances of obtaining a positive risk premium in the past were very different for each fund; 3) for the 10-year investment horizon the risk premium was negative.

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