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 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.

Kelayakan Investasi dengan Pendekatan Capital Asset Pricing Model Untuk Saham Kapitalisasi Terbesar di Bursa Efek Indonesia

“…Ini menunjukkan semakin besar risiko melekat pada sejumlah saham akibat fluktuasi harga saham, semakin besar tingkat pengembalian yang diharapkan pada saham tersebut. Selain itu, CAPM memasukkan tingkat suku bunga aset bebas risiko (Rf) dan tingkat pengembalian portofolio pasar (Rm) dalam menetukan tingkat pengembalian yang layak atas suatu saham (Širůček & Křen, 2015;Matsuk, Shyiko, Danyliuk-Chernykh, & Tryshak, 2019 BI 7-Day Repo Rate dijadikan sebagai acuan dalam menentukan suku bunga pasar uang, bagi instrumen pasar uang yang mempunyai sifat transaksional, dan mendorong pendalaman pasar keuangan, khususnya penggunaan instrumen repo. Keuntungan sebesar tingkat suku bunga bebas risiko ini merupakan tingkat pengembalian yang akan diterima investor terlepas dari besar kecilnya risiko yang terkandung dalam sejumlah saham (pada beta sama dengan nol), sedangkan tingkat pengembalian merupakan tingkat pengembalian rata-rata dari seluruh kesempatan investasi (indeks pasar) (Setyawati, 2014).…”