Mutual fund industry in developed and developing economies of
Europe: Evidence on investment and diversification
opportunities in Germany and Russia

D 2014

Mutual fund industry in developed and developing economies of Europe: Evidence on investment and diversification opportunities in Germany and Russia

LEMESHKO, Oleksandra a Oldřich REJNUŠ

Základní údaje

Originální název

Mutual fund industry in developed and developing economies of Europe: Evidence on investment and diversification opportunities in Germany and Russia

Autoři

LEMESHKO, Oleksandra (804 Ukrajina, garant, domácí) a Oldřich REJNUŠ (203 Česká republika, domácí)

Vydání

Bulgaria, SGEM Conference on Political Sciences, Law, Finance, Economics and Tourism - Conference Proceedings - Volume II Finance, od s. 503-510, 8 s. 2014

Nakladatel

SGEM

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50600 5.6 Political science

Stát vydavatele

Bulharsko

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

tištěná verze "print"

Kód RIV

RIV/00216224:14560/14:00076488

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-619-7105-26-1

ISSN

DOI

http://dx.doi.org/10.5593/sgemsocial2014B22

UT WoS

000359614600064

Klíčová slova anglicky

assets under management; net asset value; risk-adjusted performance; CAPM; portfolio diversification

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 7. 9. 2015 14:16, Mgr. Daniela Marcollová

Anotace

V originále

Recent financial crisis and subsequent economic recession force a constantly increasing number of investors from countries with developed economies and regulatory systems, to look for new investment opportunities and diversification benefits through the globe. The fundamental principle of classical portfolio theory states that mature capital markets of developed economies are nearly efficient thus offering no extra returns and low possibilities for portfolio diversification. In this context developing economies with their emerging capital markets can offer substantial investment opportunities and diversification benefits for investors from their developed counterparts. Such attitude naturally led to introduction of a wide range of relevant studies, which are structured mainly upon evidence from the United States and Asia-Pacific asset management. Meanwhile termination of transition processes in economies from the Central and Eastern Europe along with other features was marked by establishment and rapid development of local fund industries. From this perspective, the paper aims to reevaluate risk-adjusted performance and diversification opportunities of German and Russia mutual fund industries using a sample of total monthly returns for 2000 open-end equity, fixed income and balanced funds for a time span from 2000 to 2013. Risk-adjusted performance will be measured by means of unconditional and conditional CAPM, given by Sharpe and Treynor ratios, Jensen’s alpha and M2, while for examination of diversification opportunities correlation matrix will be employed. The paper contributes existing studies with a useful insight into performance and diversification opportunities offered by emerging markets on the basis of obtained evidence for Europe-domiciled funds, having among themselves funds from well developed economies of the European Union and funds from the developing, middle-income economies of the Commonwealth of Independent States.

Návaznosti

MUNI/A/0786/2013, interní kód MU

Název: Analýza a predikce vývoje cen finančních a investičních nástrojů

Investor: Masarykova univerzita, Analýza a predikce vývoje cen finančních a investičních nástrojů, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

LEMESHKO, Oleksandra a Oldřich REJNUŠ. Mutual fund industry in developed and developing economies of Europe: Evidence on investment and diversification opportunities in Germany and Russia. In SGEM Conference on Political Sciences, Law, Finance, Economics and Tourism - Conference Proceedings - Volume II Finance. Bulgaria: SGEM, 2014, s. 503-510. ISBN 978-619-7105-26-1. Dostupné z: https://dx.doi.org/10.5593/sgemsocial2014B22.

@inproceedings{1198154,
   author = {Lemeshko, Oleksandra and Rejnuš, Oldřich},
   address = {Bulgaria},
   booktitle = {SGEM Conference on Political Sciences, Law, Finance, Economics and Tourism - Conference Proceedings - Volume II Finance},
   doi = {http://dx.doi.org/10.5593/sgemsocial2014B22},
   keywords = {assets under management; net asset value; risk-adjusted performance; CAPM; portfolio diversification},
   howpublished = {tištěná verze "print"},
   language = {eng},
   location = {Bulgaria},
   isbn = {978-619-7105-26-1},
   pages = {503-510},
   publisher = {SGEM},
   title = {Mutual fund industry in developed and developing economies of Europe: Evidence on investment and diversification opportunities in Germany and Russia},
   year = {2014}
}

TY  - JOUR
ID  - 1198154
AU  - Lemeshko, Oleksandra - Rejnuš, Oldřich
PY  - 2014
TI  - Mutual fund industry in developed and developing economies of Europe: Evidence on investment and diversification opportunities in Germany and Russia
PB  - SGEM
CY  - Bulgaria
SN  - 9786197105261
KW  - assets under management
KW  - net asset value
KW  - risk-adjusted performance
KW  - CAPM
KW  - portfolio diversification
N2  - Recent financial crisis and subsequent economic recession force a constantly increasing number of investors from countries with developed economies and regulatory systems, to look for new investment opportunities and diversification benefits through the globe. The fundamental principle of classical portfolio theory states that mature capital markets of developed economies are nearly efficient thus offering no extra returns and low possibilities for portfolio diversification. In this context developing economies with their emerging capital markets can offer substantial investment opportunities and diversification benefits for investors from their developed counterparts. Such attitude naturally led to introduction of a wide range of relevant studies, which are structured mainly upon evidence from the United States and Asia-Pacific asset management. Meanwhile termination of transition processes in economies from the Central and Eastern Europe along with other features was marked by establishment and rapid development of local fund industries. From this perspective, the paper aims to reevaluate risk-adjusted performance and diversification opportunities of German and Russia mutual fund industries using a sample of total monthly returns for 2000 open-end equity, fixed income and balanced funds for a time span from 2000 to 2013. Risk-adjusted performance will be measured by means of unconditional and conditional CAPM, given by Sharpe and Treynor ratios, Jensen’s alpha and M2, while for examination of diversification opportunities correlation matrix will be employed. The paper contributes existing studies with a useful insight into performance and diversification opportunities offered by emerging markets on the basis of obtained evidence for Europe-domiciled funds, having among themselves funds from well developed economies of the European Union and funds from the developing, middle-income economies of the Commonwealth of Independent States.
ER  -

LEMESHKO, Oleksandra a Oldřich REJNUŠ. Mutual fund industry in developed and developing economies of Europe: Evidence on investment and diversification opportunities in Germany and Russia. In \textit{SGEM Conference on Political Sciences, Law, Finance, Economics and Tourism - Conference Proceedings - Volume II Finance}. Bulgaria: SGEM, 2014, s.~503-510. ISBN~978-619-7105-26-1. Dostupné z: https://dx.doi.org/10.5593/sgemsocial2014B22.

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