EMERGING MARKETS MUTUAL FUNDS PERFORMANCE EVALUATION: EVIDENCE FROM THE CENTRAL AND EASTERN EUROPE

Although for more than a century investors have been almost exclusively interested in funds from countries with mature economies and developed capital markets, nevertheless during the last decade funds from emerging economies have increasingly started to draw investors' attention. High growth rates and frequent abnormal returns make local mutual funds being a strong investment opportunity for sophisticated investors from developed markets and, thus, their performance evaluation being a frequent topic of modern research by world academic and professional asset management societies. However, the vast body of literature provides evidence mainly for Asian, Latin American, Indian and Islamic funds, leaving fund industry of the Central and Eastern Europe outside the scope of their research. On the basis of a few existing country studies the local funds performance can be characterized as quite controversial on average, local funds do not generate abnormal returns, but they still exist. The paper aims to reevaluate absolute and relative risk-adjusted performance of open-end mutual funds on the sample of 11 high- and middle-income economies from the Central and Easter Europe for the time span from 2000 to 2013. Following established practice, fund performance is evaluated by means of unconditional and conditional single-factor CAPM, given by Sharpe and Treynor ratios, Jensen's alpha and M-2, as well as multifactor CAPM, given by Fama-French and Carhart models, raw input data for which is collected from Bloomberg terminal and data sets of World Development Indicators and International Financial Statistics. Although the chosen research does not cover as large number of performance measures and attributes as previous studies, it provides a useful insight into CEE mutual fund performance, documenting important country and regional characteristics.