@article{moskal2021effectiveness,
  title = {Effectiveness of Management of Absolute Return Funds In Poland During The COVID-19 Pandemic},
  author = {Agnieszka MOSKAL},
  year = 2021,
  url = {https://ibimapublishing.com/p-articles/COVID38ECO/2021/38135721/},
  journal = {Communications of International Proceedings},
  volume = 2021 (5),
  abstract = {The aim of the article is to examine the effectiveness of management of absolute return funds in Poland in the period before and during the COVID-19 pandemic. The analysis used 23 absolute return funds operating in Poland in 2017-2021. The ability to generate alpha was used to assess the effectiveness of the management of the funds. As measures of effectiveness, risk-adjusted measures were used, such as: Jensen’s alpha, modified Jensen’s alpha and appraisal ratio. Absolute return funds, as alternative funds, should enable obtaining above-average rates of return regardless of the market situation. The obtained results indicate that absolute return funds in Poland during the COVID-19 pandemic obtained positive alpha values; however, fund managers were not able to generate higher rates of return than from market portfolios. An ineffective investment policy and legal changes on the Polish investment fund market resulted in a significant reduction in the value of assets under management of absolute return funds and a decrease in net cash flow in 2017-2019. On the other hand, the instability in the financial markets caused by the COVID-19 pandemic in 2020 resulted in an increased interest in investments in the absolute return funds market, which resulted in an increase in the value of assets and sales in 2020-2021.},
  keywords = {efficiency, COVID-19 pandemic, absolute return funds, management efficiency, Jensen's alpha},
  note = Article ID: 38135721
}