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

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           )) ) ( ( ( * ) ) ( ( country r USA f r m r f f country r USA f r f r was built. For further research the investment funds, that have the coefficient of 3 , 0  f  and the coefficient of determination 5 , 0 2  R , where selected. The statistical significance of the regression equations obtained using the Fcriteria was checked. The hypothesis about the equality of coefficients f  and f  were researched. The tables of the tstatistics for the each of hypothesis were built. The investment funds by the value of the coefficient f  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.