Market Timing Models for Equity Funds Operating on the Polish Market in the Years 2003–2017

  • Dorota Żebrowska-Suchodolska
  • Andrzej KarpioEmail author
Conference paper
Part of the Springer Proceedings in Business and Economics book series (SPBE)


The use of a proper investment policy by fund managers has a huge impact on the results achieved. Asset selection for the portfolio is of key importance, in line with the investment policy declared by the fund, and the appropriate timing of changes in the assets in the portfolio. This research aims to assess whether managers in the Polish market have the ability to select assets with a sense of market timing and selectivity. The research concerns domestic equity funds operating in between 2003 and 2017, from which 15 were selected. The entire research period was divided into three five-year sub-periods, to some extent coinciding with changing market conditions, and seven two-year periods, covering the years 2003–2016. It was assumed that the results for the entire period describe long-term strategies of funds, five-year and two-year periods, being respectively the medium and short term. The basis for calculations was the monthly rates of return on participation units. The research was carried out using the Treynor–Mazuy, Henriksson–Merton, and Busse models. WIBOR 1M was accepted as a risk-free rate, and the WIG index was the market factor. The summary of the research is a comparison of the results regarding the selectivity of asset selection, market timing, and the ability of managers of open investment fund portfolios to respond to the market situation. The final conclusions are not very favorable for the managers, and the clients require active involvement in the selection of funds.


Investment fund Market timing Market sensitivity Selectivity 

JEL Codes

C51 G11 G23 


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Copyright information

© Springer Nature Switzerland AG 2020

Authors and Affiliations

  1. 1.Division of Financial Engineering, Department of Econometrics and Statistics, Faculty of Applied Informatics and MathematicsUniversity of Life Sciences—SGGWWarsawPoland

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