The Impact of Fundamental Investment Fund Features on the Level of Risk

Abstract

The aim of the article is to examine the dependence of investment risk level on selected fundamental features of funds. The analysis was carried out on 136 Polish equity funds, during the years 2014–2017. The study involved two different approaches to investment risk. The risk has been expressed symmetrically (by a standard deviation of the return rates) and asymmetrically (by a semi-standard deviation). The fundamental fund features were as follows: the size, the age and the capital inflow. As a result of applying the panel-data least squares method and fixed effects models, it was determined that the level of the semi-standard deviation is statistically significantly dependent on selected fund features. Contrastingly, in the case of the standard deviation, only two characteristics have statistically significant impact: lnAge and Fund Flow. The second part of the analysis focuses on checking whether there is a relationship between the size of the funds and the level of risk. The estimation results of linear panel-data regression models indicate existence of a statistically significant, positive relation of the funds whose net asset value (NAV) is below the median within the researched group of funds. Contrarily, in terms of such funds with the NAV above the median, no such relation was observed.