Elimination of characteristics concerning the performance of open-ended equity funds using PCA

Dorota Żebrowska-Suchodolska

doi:https://doi.org/10.59170/stattrans-2023-057

Elimination of characteristics concerning the performance of open-ended equity funds using PCA

Dorota Żebrowska-Suchodolska Warsaw University of Life Sciences – SGGW, Poland ORCID:https://orcid.org/0000-0003-1230-6413 Statistics in Transition new series, vol. 24, 2023, 4, pages: 153-168 Published online: 8 September 2023 https://doi.org/10.59170/stattrans-2023-057

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ABSTRACT

From an investor's point of view, the appropriate selection of a fund is an important issue. When making such a choice, many elements should be considered. These include not only the fund's rate of return or its risk, but also the comparison of the fund's results with an appropriate benchmark. The aim of the research was to apply principal component analysis (PCA) to reduce the dimension of the indicators that help the investor in selecting a fund. The subject of the study was 15 equity funds that had been on the Polish market for many years. The research showed that it is possible to reduce the primary variables to two dimensions.

KEYWORDS

PCA, investment funds, decision-making, tau-Kendall correlation coefficient, investment efficiency

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