ARE FUND ATTRIBUTES RISK DRIVERS? EVIDENCE FOR THE POLISH MUTUAL FUNDS

The purpose of this paper was to examine the dependence of the investment risk level on selected organisational fund characteristics that might be perceived as risk drivers and key factors used in decision by individual investors. Moreover, the intention of the study was also to verify the hypothesis regarding differences in the risk level depending on the developed investment policy of a fund. The analysis was conducted for 82 domestic equity funds operating in Poland during the 2000-2015 period. The study used four popular risk measures and four of the main organisational factors, such as fund size and age, family size, and investment policy. As a result of the analysis, it was noticed that fund attributes may be treated as risk drivers. Fund age was interpreted as a factor influencing investment risk to a statistically significant extent most frequently and its growth resulted in a limited variability of returns and, at the same time, increase in sensitivity of unit price changes to movements of returns on a benchmark. The factor related to asset size was also crucial for large funds as it made the achieved returns more variable. A certain dependence of the obtained results on the applied risk measure and the used estimation method was noticeable in the conducted analysis. To our knowledge, it is one of the first papers in the CESEE countries to evaluate determinants of investment risk with respect to fund attributes. Moreover, what contributes to the originality of the research is the application of a relatively extensive set of risk measures in the context of data from an industry that is representative for the European developing markets.