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Hodnocení výkonnosti nemovitostních investičních a podílových fondů / Performance Evaluation of Real Estate Investment and Mutual FundsJanková, Zuzana January 2018 (has links)
Diploma thesis deals with the evaluation and the comparison of the performance of mutual funds and investment funds with a focus on the real estate sector. The essence and principles of mutual funds, ETF and REIT are presented, and the resulting weaknesses and advantages. According to the selected indicators, the profitability, riskiness and expense of the investment opportunities are examined and investment recommendations for management of an investment company and potential retail investors are established.
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Management of commercial banks versus independent assets management, using capm model - Brazil equity funds / GestÃo de bancos comerciais versus gestÃo de assets independentes, utilizando modelo capm â fundos de aÃÃes BrasilRaul AragÃo Alves 27 March 2015 (has links)
nÃo hà / Este artigo busca contribuir com um estudo para identificar os melhores gestores entre Bancos
Comerciais e Assets Independentes de fundos de investimento em aÃÃes do tipo ANBIMA
Ibovespa Ativo (FIA). Para analisar e diferenciar os melhores gestores, foi utilizada a
metodologia Capital Asset Price Model (CAPM), proposto por Willian Sharpe (1964) e o Alfa
de Jensen para capturar o quanto o gestor gerou de retorno acima do esperado pelo nÃvel de
risco da carteira do fundo. A base de dados composta em painel contendo apenas FIA com
cotas mensais de dezembro de 2003 a janeiro de 2014. Com essa base de dados e os Alfas
estimou-se as regressÃes individuais dos 46 fundos. ApÃs a estimaÃÃo do Alfa de cada FIA,
esses AlfaÂs foram organizados em um cross section, adicionado a uma variÃvel dummy para
fundos geridos pelos Bancos Comerciais e Assets Independentes. A partir desta anÃlise, podese
analisar e comparar quais instituiÃÃes agregam mais resultados aos investidores. Para
fundos geridos por Bancos Comerciais, o Alfa à estatisticamente negativo, enquanto que os
geridos por Assets Independentes o alfa à estatisticamente positivo. / This article seeks contribute to a study to identify the best managers of Commercials Banks
and Independent Assets of stock mutual Funds ANBIMA Ibovespa Ativotype (FIA). To
analyze and differentiate the best managers, the methodology Capital Asset Price Model
(CAPM) was used, proposed by William Sharpe (1964) and the Alpha Jensen to capture how
the managers generated a return higher than expected by the portfolio's risk level background.
Database comprised a panel containing just FIA with monthly quotas of December 2003 to
January 2014, with this database and estimated alphas in the individual regressions of 46
funds. After alpha estimating each FIA, these alfa's were arranged in a cross section using a
dummy variable for funds managed by Commercial Banks and Independent Assets. From this
analysis we can analyze and compare which institutions add more results to investors. For
funds managed by Commercial Banks alpha is negative, while the Independent Assets
managed by the alpha is statistically positive.
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Srovnání výkonnosti v ČR nabízených fondů a ETF z pohledu korunového investora / A Performance Comparison of mutual funds and ETFs available in Czech Republic from the CZK investor's point of viewKůna, Jakub January 2012 (has links)
This diploma thesis "A Performance Comparison of in Czech Republic available mutual funds and ETFs from the view of CZK investor" elaborates on collective investing in Czech Republic; focusing on mutual funds and their exchange traded alternatives in ETFs. In the thesis, a history of Czech collective investments' development is briefly mentioned and of ETFs' beginnings in the US, also a legislative framework for the mutual funds in CZ is shortly discussed; furthermore, different approaches to fund classification based on various criteria are provided. An impact of fund fees and expenses is also analysed. A Current situation on the capital market of funds and ETFs and its trends are showed in many graphs and tables. In the second part of the thesis, author introduces not only the basic ones but also the more sophisticated methods of portfolio's or fund's performance measurements, including yields, risks, risk-adjusted yields etc... The third and last chapter aims at application of the previously mentioned methods on a selection of 20 funds and ETFs; therefore building a financial model enabling that. The analysis is viewed as from the CZK investor, thus all calculations are made in CZK.
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