Application of linear mixed models to evaluate the determinants of effectiveness of commodity funds.

The paper presents the methodological assumptions for the linear mixed model and shows its usefulness in research on the factors determining the efficiency of investment funds. The aim of the study was to identify and evaluate the factors determining the efficiency of commodity funds in Poland using a linear mixed model. The Sharpe ratio was adopted as the fund's efficiency criterion. The subjective scope of the research covered all funds in Poland which at the end of December 2019 declared their investment portfolio exposure to commodity markets. The time scope of the study was 5 years, and annual data were used for the analysis. Based on the use of a linear mixed model, it was shown that there is a statistically significant negative relationship between the effectiveness of the studied funds and their operating time. This means that commodity funds that have been operating on the market for a shorter period of time achieve better investment results. [ABSTRACT FROM AUTHOR]