Science – Future of Lithuania / Mokslas – Lietuvos Ateitis, Vol 3, No 4 (2011)

The Evaluation of Mutual Fund Performance in Lithuania Considering Risk and Timing Ability

Irma Gavrilova

Abstract


Over the last decade, Lithuania has witnessed a growing interest in investment promoted by the need to successfully manage available funds. Direct investments (e. g. buying and selling stocks) require a specific knowledge of investment instruments. Therefore, an ordinary investor finds investment in mutual funds easier and cheaper. Usually the most important questions to the investor include measuring the results of a fund and the quality of the actions performed by the fund managers. The article evaluates the rates of mutual fund performance and identifies their shortages. The methods for evaluating investment return according to the level of risk and timing ability of the fund managers are presented using the Sharpe ratio and Treynor-Mazuy model on the basis of which mutual funds in Lithuania are analyzed.

Article in Lithuanian


Article in: English

Article published: 2011-07-19

Keyword(s): efficiency, mutual fund, return, risk, timing ability, Sharpe ratio, Treynor-Mazuy model, yield

DOI: 10.3846/mla.2011.063

Full Text: PDF pdf

Science – Future of Lithuania / Mokslas – Lietuvos Ateitis ISSN 2029-2341, eISSN 2029-2252
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 License.