Vliv volby benchmarku na zhodnocení výkonnosti podílového fondu

Abstract

The choice of benchmark can have a major impact on the evaluation of investment performance and within the pricipes of ethical behavior of portfolio managers, the benchmark should always be set ex-ante so that it would not be possible to additionally select a benchmark in the ex-post performance evaluation that would lead to better results. The aim of the diploma thesis is to assess whether the impact of benchmark choice has an impact on selected mutual fund performance evaluation. The thesis is divided into 5 chapters. In addition to introduction and conclusion there are three other chapters. The second chapter concerns investing in mutual funds, which characterizes collective investment and explains the essence of the benchmark. The third chapter deals with performance measurement, which specifically describes risk-adjusted measuring methods and regression models of market timing, which are applied in the following sections. The fourth chapter presents the input data of selected mutual funds and benchmarks, the application of individual risk-adjusted measuring methods and market timing using a regression model. Finally, a summary of all methods and their results is given. In the case of this thesis, the selection of benchmarks did not affect the evaluation of performance, which indicates that the selection of benchmarks was made correctly. In general, choosing the right benchmark for evaluating the performance of mutual funds in an investment company portfolio is extremely important.