Using CAPM for assessment of efficiency of managed portfolios-mutual funds
| Název práce v češtině: | Použití CAPM pro posouzení efektivnosti řízených portfolií-podílových fondů |
|---|---|
| Název v anglickém jazyce: | Using CAPM for assessment of efficiency of managed portfolios-mutual funds |
| Akademický rok vypsání: | 2017/2018 |
| Typ práce: | bakalářská práce |
| Jazyk práce: | angličtina |
| Ústav: | Institut ekonomických studií (23-IES) |
| Vedoucí / školitel: | PhDr. Petr Gapko, Ph.D. |
| Řešitel: | skrytý - zadáno vedoucím/školitelem |
| Datum přihlášení: | 23.05.2018 |
| Datum zadání: | 23.05.2018 |
| Datum a čas obhajoby: | 10.06.2019 09:00 |
| Místo konání obhajoby: | Opletalova - Opletalova 26, O206, Opletalova - místn. č. 206 |
| Datum odevzdání elektronické podoby: | 09.05.2019 |
| Datum proběhlé obhajoby: | 10.06.2019 |
| Oponenti: | doc. PhDr. Jozef Baruník, Ph.D. |
| Kontrola URKUND: | |
| Seznam odborné literatury |
| Amenc N. and Martellini L. (2002), The Brave New World of Hedge Fund Indices, EDHEC-Risk Working paper.
William F. Sharpe and Gordon J. Alexander (1995), Investments, Prentice Hall, Englewood Cliffs, New Jersey Edwin J. Elton and Martin J. Gruber, Modern portfolio theory and investment analysis (1991), John Wiley and Sons Janette Rutterford (1993), Introduction to stock exchange investment, The Macmillan press LTD Marlène Hassine and Thierry Roncalli(2013), Measuring Performance of Exchange Traded Funds Eugene F. Fama and Kenneth R. French(2004), The Capital Asset Pricing Model: Theory and Evidence Sharpe, William F. (1964). "Capital asset prices: A theory of market equilibrium under conditions of risk". Journal of Finance. 19 (3): 425–442. Markowitz, Harry . (1999). "The early history of portfolio theory: 1600–1960". Financial Analysts Journal. 55 (4). Lintner, John (1965). "The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets". Review of Economics and Statistics. 47 (1): 13–37. Treynor, Jack L. (1962). Toward a Theory of Market Value of Risky Assets. |
| Předběžná náplň práce v anglickém jazyce |
| Research question and motivation
The research question of the thesis is to explore is the comparison of performance of actively managed portfolios with the performance of their benchmarks. In particular, we will compare the returns of mutual funds with the returns of market indices or other indices, which the funds’ portfolio manager chose as a benchmark. The popularity of mutual funds is growing as the economic situation is positive and the population is able to execute more investments due to growing savings. At the same time the number opportunities to invest directly to the whole markets or classes of assets, which in some cases may be much cheaper, is growing as well. With the thesis we will answer a question whether it is worth to invest into actively managed mutual funds by statistically proving whether the actively managed portfolios are systematically able to outperform their benchmarks. Additionally, we will be interested in comparing the results for different phases of the economic cycle. There is plenty of literature dealing with comparison of performance of mutual funds and ETF´s or market benchmarks (e.g.Measuring Performance of Exchange Traded Funds (2013), Marlène Hassine and Thierry Roncalli) Contribution We will test the hypothesis that actively managed funds are systematically able to outperform their benchmarks. The outcome of the thesis will be interesting particularly when compared to the results of other researches, mainly because of different data sets used. Also, the comparison of the performance in different phases of economic cycle might shed additional light to the question whether it is really worth to invest into actively managed portfolios. Methodology The basic concept of the thesis will be the CAPM model, which was and still is commonly used to measure potential systematic premiums. The CAPM model will be constructed in such a way that it will be estimable by the OLS regression. In order to perform a correct estimation, we will need to test all OLS assumptions as well as the stability of the dataset. Outline Abstract Literature and mutual funds overview Methodology description Empirical statistical analysis of the actively managed mutual funds performance with respect to their benchmark Results (including comparison to findings of other researchers) Conclusion References |