engleski

Can Croatian Fund Managers Create Alpha Returns? Performance of Some Mutual Funds in Croatia

The research object of this paper is to scrutinize the risk-adjusted returns of the five largest Croatian open-end equity mutual funds (ZB Aktiv, PBZ Equity, Raiffeisen Central Europe, Erste Adriatic Equity, and ZB Trend), and to compare each of them individually with a selection of the risk-adjusted returns of 10 relevant stock market indices (Crobex, S&P500, Rts50, Belex15, Atx20, Cetop20, Nikkei225, Bux13, Ftse100, and SSE Composite). Jensen alphas were calculated in order to obtain insight into the performance of the funds, with the intention of evaluating the successfulness of the actively managed equity mutual funds in Croatia. Three time periods were observed, and each of the funds is examined in its own time frame. The first period dates from the funds’ establishment until July 2010 ; the second is from the funds’ establishment until January 2008. Specific interest was taken into the period of global financial crisis (in Croatia from the beginning of 2008 onwards), and into the performance of the funds during this downturn. Therefore, the third period spans from February 2008 until July 2010. Altogether, 150 individual OLS specifications were taken into account. Null hypothesis was confirmed, since Jensen alphas indicate underperformance of the funds when compared to market returns. Even though positive (albeit relatively small) alphas were shown in the period of extreme (exponential) growth of the Croatian mutual fund industry (2000 - 2008), these returns have proven themselves to be unsustainable in the long term.

active management; mutual funds; Jensen alpha; Treynor; Sharpe; Croatia

Sažetak: U radu se istražuju rizikom ponderirani prinosi pet najvećih hrvatskih otvorenih dioničkih investicijskih fondova (ZB Aktiv, PBZ Equity, Raiffeisen Central Europe, Erste Adriatic Equity, i ZB Trend), te se svaki od njih pojedinačno uspoređuje s rizikom ponderiranim prinosima nekih od deset relevantnih indeksa tržišta dionica (Crobex, S&P500, Rts50, Belex15, Atx20, Cetop20, Nikkei225, Bux13, Ftse100, and SSE Composite). Izračunati su Jensen alfa pokazatelji kako bi se dobio uvid u performanse fondova, s ciljem procjene uspješnosti aktivno upravljanih dioničkih investicijskih fondova u Hrvatskoj. Promatrana su tri vremenska razdoblja, i svaki je fond razmatran u zasebnom vremenskom okviru. Prvo razdoblje datira od osnutka svakog fonda do srpnja 2010., a drugo od osnutka do siječnja 2008. Poseban je interes posvećen razdoblju globalne financijske krize (u Hrvatskoj od siječnja 2008 nadalje), i prinosima fondova tijekom ove kontrakcije. Stoga, treće razdoblje promatranja datira od veljače 2008. do srpnja 2010. Sveukupno, uzeto je u obzir 150 različitih, individualnih specifikacija regresijskih modela. Nul-hipoteza je potvrđena, jer Jensenove alfe pokazuju kak