Selectivity and Market Timing Ability of Polish Fund Managers Analysis of Selected Equity Funds

The study aims to analyse the selective ability and market timing ability of Polish equity fund managers during the period from January 2009 to November 2014. After the global financial crisis of 2008, in this period of quantitative easing (QE), thanks to an increase in the money supply, a capital flow from developed countries to developing countries was observed. In this study, Polish equity fund manager performances are analysed by using Jensen (1968) alpha measure and Treynor&Mazuy (1966) regression analysis method. Jensen alpha (1968) and Treynor&Mazuy (1966) models provide us the selectivity skills and market timing ability of fund managers, respectively. A total of 14 Polish equity funds have been evaluated during the study period. Among 14 funds, only two funds have positive Jensen alpha, but none of them are statistically significant. Similarly, Treynor&Mazuy (1966) regression analysis indicated that again two other funds have positive yet insignificant market timing ability.