Detail práce

Using CAPM for assessment of efficiency of managed portfolios-mutual funds

Autor: Bc. David Pergl
Rok: 2019 - letní
Vedoucí: PhDr. Petr Gapko Ph.D.
Typ práce: Bakalářská
Jazyk: Anglicky
Stránky: 56
Abstrakt: This bachelor thesis tested hypothesis if 30 randomly selected equity funds outperformed the
market systematically in the time period 2003-2018. Funds were divided into two groups with
respect to their investment strategies (Small caps and Large caps) and were tested in periods
of Bull and Bear markets. As a theoretical concept the Capital Asset Pricing model (CAPM)
was used. Two parameters of its equation were tested, alpha coefficient as an indicator of
managers´ skills and fund expenses and beta coefficient as an indicator of level of risk. The
CAPM equation was expanded by dummy variables to measure the effects of different
investment strategies and market conditions. The thesis used panel data analysis as an
approach of estimation of the parameters with Fixed and Random Effects models. Funds
invested mainly on the U.S. market. Their prices were transformed to fund returns as required
by the CAPM model and compared with returns of S&P500. Statistically significant results
confirmed that the CAPM fitted the expected relationship of market and fund returns. It
showed that the funds taking higher risk were rewarded by higher expected returns expressed
by beta greater than 1. It also showed that the managers invested more carefully in the periods
of Bear market. Values of alphas revealed that Large cap fund managers invested more
efficiently and cheaper than Small cap managers. It was recommended to focus on the
selection of funds and fulfilment of all statistical assumptions in further analysis.




Patria Finance