Proceedings of the 2019 7th International Conference on Modeling, Development and Strategic Management of Economic System (MDSMES 2019)

Rating of Investments Funds Using the Capital Asset Pricing Model: Experience of Ukraine

Authors
Zoriana Matsuk, Vira Shyiko, Iryna Danyliuk-Chernykh, Lidiia Tryshak
Corresponding Author
Zoriana Matsuk
Available Online October 2019.
DOI
https://doi.org/10.2991/mdsmes-19.2019.1How to use a DOI?
Keywords
CAPM, Investment fund, Rating
Abstract
The rating of the unit investment funds of the open and interval types, which invest more then 30 percent of their assets to the shares in Ukraine was done using CAPM. The sample of data from the investment funds that work on the securities market in Ukraine more than 5 years was compiled. The indicators of funds’ over yield, as the difference between fund’s yield and the minimum allowable rate of return on investment in Ukraine were calculated. Using the least square method the linear regression equation in the form of a CAPM was built. For further research the investment funds, that have the coefficient of bf>0,3 and the coefficient of determination R2>0,5, where selected. The statistical significance of the regression equations obtained using the F-criteria was checked. The hypothesis about the equality of coefficients af and bf were researched. The tables of the t-statistics for the each of hypothesis were built. The investment funds by the value of the coefficient bf were grouped. As a result of rating, the investor will have the opportunity to select the group of funds that is acceptable to him in terms of profitability and risk.
Open Access
This is an open access article distributed under the CC BY-NC license.

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Cite this article

TY  - CONF
AU  - Zoriana Matsuk
AU  - Vira Shyiko
AU  - Iryna Danyliuk-Chernykh
AU  - Lidiia Tryshak
PY  - 2019/10
DA  - 2019/10
TI  - Rating of Investments Funds Using the Capital Asset Pricing Model: Experience of Ukraine
BT  - 2019 7th International Conference on Modeling, Development and Strategic Management of Economic System (MDSMES 2019)
PB  - Atlantis Press
SP  - 1
EP  - 5
SN  - 2352-5428
UR  - https://doi.org/10.2991/mdsmes-19.2019.1
DO  - https://doi.org/10.2991/mdsmes-19.2019.1
ID  - Matsuk2019/10
ER  -