STABILITY OF STRATEGIES OF POLISH OPEN-END INVESTMENT FUNDS INVESTING IN GLOBAL MARKETS DURING THE FINANCIAL CRISIS

Abstract

The authors have attempted to analyze the stability of investment strategy of the Polish open-ended funds, which invest assets in global markets. The study covered the period from 2006 to 2010, which also contain a period of financial crisis. The analysis was performed by statistical methods which use a regression line, Spearman rank correlation coefficient and contingency table. All three methods are based on alpha coefficients of the characteristic lines of funds taken as measures of active investment policy of the managers. For the purposes of study, the authors have constructed market factor based on the indexes of the largest stock exchanges. The results were compared with those obtained earlier for the Polish market and equity funds.