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Top Stocks: A Broad Analysis of Its Performance and Search for Hidden Relationships
Veselá, Barbora ; Polák, Petr (advisor) ; Kurka, Josef (referee)
01 Abstract This thesis focuses on the exploration of the basic characteristics of the Czech equity fund 'TOP STOCKS - open mutual fund' and a detailed analysis of the portfolio performance with respect to industry classification. Uniquely collected data from the fund's establishment allow us to make analysis to the fullest extent possible. Additionally, our dataset may be the basis for further studies of this fund as it is the first of its kind and scope. The research question investigates the connection between the portfolio performance and its industrial structure. Various classification schemes are summarised in the first part of the thesis, including the Global Industry Classification Standard used in our study. Subsequently, appropriate tools for a regression and forecast analysis are presented, mainly the Box-Jenkins method used to fit the ARIMA model to historical data and forecast values of weekly NAV. The results show that a stock-picking strategy operates effectively and immediately reacts to the market development of industry groups, resulting in a protection of investors. Also, the exchange rate commitment of the Czech National Bank supported excessive cash inflow to the fund resulting in considerable performance stimulation during last years. Future research may build on these findings.
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ANALYSIS OF THE COMPANY USING TIME SERIES METHODS AND FINANCIAL ANALYSIS
KÚNOVÁ, Lucie
The goal of my bachelor work was to analyze the company Profi - Service, Ltd., which I chose for it. I have divided the work into two parts. In the first part I focused on the analysis of time series development of the profit. Firstly described the behavior of this series and modeled it using different models. The first model I focused on is the small trend method. Then I created model with seasonality regression. In the end of this section I will make a spectral analysis. Based on these models, I tried to predict the future development of the profit. For the calculation of some values I used program Statistika. In the second part, I focused not only on the financial analysis of the company Profi - Service, Ltd., but for making comparison, I made financial analysis for the company Uniclean, Ltd. too. The resulting values of indicators were also compared with industry averages. I started with evaluative indicators, next I made the analysis of funds and finaly I made a pyramidal decomposition of indicator the return of equity.
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Performance evaluation of funds in the Czech Republic
Vítová, Veronika ; Valach, Josef (advisor) ; Novotný, Pavel (referee)
The thesis compares the performance of Czech equity mutual funds, focusing on less common indicators and performance assessment methods. This means mainly a modern ratios that takes into account both of yield and risk of the investment. The introductory theoretical part deals with the basic characteristics, legislation, typology and histoty of the funds in the Czech Republic since the early years of its existence to the present. Selected indicators for assessing performance of funds (Sharpe, Treynor, Calmar Ratios, Jensen alpha, Information Ratio and Maximum Drawdown) and also comparison funds with benchmark is applied in the analytical part. The thesis highlights the problems with the interpretation of ratios in the case of falling markets, and also proposes solutions to these problems.
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Comparison of performance of selected collective investment funds
Šnajder, Andrej ; Valach, Josef (advisor) ; Hruboň, Lukáš (referee)
The thesis is engaged in a very up-to-date subject in the field of a capital market. Concretely the thesis is concerned in a collective investment. After the introductory theoretical part and the description of legal regulations follows the fundamental part, which is the analyse of performance of selected collective investment funds during a period from the beginning of year 1999 till the end of year 2006. The aim of the work is to compare performance of a foreign and domestic funds, whereas this comparison proceeds between selected equity funds, bond funds and money market funds. The result of the analyse is very interesting. In the event of the equity funds performance of the foreign fund is distinctively higher than in the domestic fund. However in the event of the bond funds the czech fund became the winner of comparison. Performance of money market funds was approximately same but in the both cases lower than risk free interest rate used in the analyse.
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