The Return Variability and Dispersion: Evidence from Mutual Funds in Post-Transition Countries

Abstract

The purpose of the paper is to evaluate the performance of mutual funds operated in selected post-transition countries and to analyse their return variability and dispersion. The study sample consists of 294 equity funds (domestic and foreign ones) from the Czech Republic, Hungary and Poland. By using classic measures of return as well as popular measures of risk, it was possible to examine if equity funds from the CEE countries possess the ability to outperform. It was observed that funds generally obtained mean returns, which were below the corresponding benchmark. In most cases, however, the results were statistically insignificant. Fund returns compared to equity indices were characterised by lower ups and downs, especially during significant market changes. The analysis of performance variability and dispersion showed that there are entities which achieve marginally better return than their competitors at a relatively low risk level. The test for equality of variances applied in the study revealed evidence for the heterogeneity of return variabilities, which could be caused by sample selection bias.