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Volume 57, Issue 3 -4

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Croatian and Slovenian Mutual Funds and Bosnian Investments Funds

Balen, Vanco; Jagric, Timotej; Kolanovic, Marko; Podobnik, Boris

Year: 2007   Volume: 57   Issue: 3 -4   Pages: 159-177

Abstract: The paper provides a stock-market-performance analysis for three emerging European stock markets: Croatia, Slovenia, and Bosnia and Herzegovina. Using monthly observations we perform a detailed study of the performance of Croatian and Slovenian mutual funds and Bosnian investment funds. The risk-return measures of the funds are assessed using the Sharpe ratio, Treynor ratio, information ratio, Jensen’s alpha, and an appraisal ratio. Furthermore, we analyze the timing ability of the funds. Descriptive statistics for the returns are given and different statistic tests are calculated in order to test ordinary-least-squares assumptions in the data. The results are also estimated by applying the bootstrap method.

JEL classification: G10, C14

Keywords: stock market, mutual fund, investment fund, risk/return measures

RePEc: http://ideas.repec.org/a/fau/fauart/v57y2007i3-4p159-177.html

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