Měření výkonnosti portfolia podílových fondů

Abstract

This diploma thesis is devoted to the issue of measuring portfolio performance of mutual funds and application of the market timing model on U.S. mutual funds.The aim of this thesis is measuring the performance of portfolio of selected U.S. mutual funds, where were used risk-adjusted performance measures like the Sharpe ratio, Treynor ratio, Information ratio, Jensen alpha and M2 measure. Portfolio performance is also affected by managers´ abilities of security selection and market timing. These two abilities were measured by market timing model. Result of this thesis is to evaluate the performance of mutual funds and evaluation of managers´ abilities security selection and market timing. The first part is devoted to regulation of collective investment and mutual funds in the Czech Republic and in the U.S. The second part is methodological and includes the following areas: methods to quantify risk and return of portfolio, statistical estimates of alpha and beta coefficients, characteristics of absolute risk-adjusted performance measures and characteristics of relative risk-adjusted measures, theory of market timing model and econometric verification of model. The last part of thesis is application and is a key part of this work. At first are characterised selected U.S. mutual funds and is set relevant benchmark. Subsequently are commented the results of individual risk-adjusted performance measures. Performance was regarded on the basis of space and time boundaries. Further are evaluate the resusults and reliability of the estimated market timing model. The last section presents a summary and evaluation of the best mutual fund by the performance and by the abilities of portfolio manager.