Využití rizikově vážených metod ke stanovení výkonnosti portfolia

Abstract

This diploma thesis is devoted to the portfolio performance analysis of mutual funds. The aim of diploma thesis is comparing portfolio performance of selected mutual funds by using risk adjusted methods. The selected mutual funds are divided on two groups. Funds in the first group are focused on region of Middle and East Europe and funds in the second group are global oriented. For portfolio performance analysis were used five methods with different expression of risk. These methods are: absolute risk adjustement methods, relative risk adjusted methods, methods using Drawdown, methods using Downside risk and methods using Value at Risk. The first part of diploma thesis is devoted to characteristic of collective investment. The second part of thesis is methodological and is devoted to characteristic and form of calculation of risk adjusted methods. The third part of this thesis is the most important part. There are introduced selected mutual funds. Then there is calculated performance of chosen funds by risk adjusted methods. Finally there is a summary of calculated results and apprasial of the most high-performance funds.