Changes in the level of risk in investment funds in Poland

Sylwester Kozak
Warsaw University of Life Sciences – SGGW
Kozak, Sylwester; ORCID: 0000-0001-9485-6704 (Warsaw University of Life Sciences – SGGW)
Changes in the level of risk in investment funds in Poland
Annals of Marketing Management and Economics, 2017, vol.3, nr 1, s. 23-31

Key words

capital market investment funds investment risk


The paper analyzes changes in risk of investment fund portfolios in different phases of the macroeconomic cycle. Twenty nine equity investment funds operating during the period of 2005–2015 were examined. The risk was assessed by the standard deviation of rates of return on funds and the β coefficient. The research indicates that the exposure of fund portfolios to risk changed in response to macroeconomic conditions and the situation on the capital market. Risk hit its highest level during the financial crisis years (2008–2011), followed by the dynamic macroeconomic growth years (2005–2007). The moderate growth years (2012–2015) exposed funds to the lowest risk. For the entire period the average and the median funds and the market were exposed to a similar amount of investment risk.