Abstract:

The aim of the article is to examine the effectiveness of management of absolute return funds in Poland in the period before and during the COVID-19 pandemic. The analysis used 23 absolute return funds operating in Poland in 2017-2021. The ability to generate alpha was used to assess the effectiveness of the management of the funds. As measures of effectiveness, risk-adjusted measures were used, such as: Jensen’s alpha, modified Jensen’s alpha and appraisal ratio. Absolute return funds, as alternative funds, should enable obtaining above-average rates of return regardless of the market situation. The obtained results indicate that absolute return funds in Poland during the COVID-19 pandemic obtained positive alpha values; however, fund managers were not able to generate higher rates of return than from market portfolios. An ineffective investment policy and legal changes on the Polish investment fund market resulted in a significant reduction in the value of assets under management of absolute return funds and a decrease in net cash flow in 2017-2019. On the other hand, the instability in the financial markets caused by the COVID-19 pandemic in 2020 resulted in an increased interest in investments in the absolute return funds market, which resulted in an increase in the value of assets and sales in 2020-2021.