Work detail

Top Stocks: A Broad Analysis of Its Performance and Search for Hidden Relationships

Author: Bc. Barbora Veselá
Year: 2018 - summer
Leaders: Mgr. Petr Polák MSc.
Consultants:
Work type: Bachelors
Language: English
Pages: 78
Awards and prizes:
Link: https://is.cuni.cz/webapps/zzp/detail/190804/
Abstract: This thesis focuses on the exploration of the basic characteristics of the Czech equity fund ‘TOP
STOCKS - open mutual fund’ and a detailed analysis of the portfolio performance with respect
to industry classification. Uniquely collected data from the fund’s establishment allow us to
make analysis to the fullest extent possible. Additionally, our dataset may be the basis for
further studies of this fund as it is the first of its kind and scope. The research question
investigates the connection between the portfolio performance and its industrial structure.
Various classification schemes are summarised in the first part of the thesis, including the
Global Industry Classification Standard used in our study. Subsequently, appropriate tools for
a regression and forecast analysis are presented, mainly the Box-Jenkins method used to fit the
ARIMA model to historical data and forecast values of weekly NAV. The results show that a
stock-picking strategy operates effectively and immediately reacts to the market development
of industry groups, resulting in a protection of investors. Also, the exchange rate commitment
of the Czech National Bank supported excessive cash inflow to the fund resulting in
considerable performance stimulation during last years. Future research may build on these
findings.

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