Performance of alternative portfolios during Financial Crisis 2007 – 2009
|Author:||Mgr. Adam Zaydlar|
|Year:||2009 - summer|
|Leaders:|| doc. PhDr. Adam Geršl Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:|
|Abstract:||The main focus of the thesis was to analyze the performance of the alternative portfolio strategies with special attention to the period of Financial Crisis 2007 – 2009. In the thesis, we provide available literature based description of the Financial Crisis sources. For the analytical purposes, we have focused on dollar investor investing into the beta and contrarian trading strategy based portfolios analysis. We have analyzed portfolios consisting of US stocks with beta values equal to 1, 0.5 and negative betas (plus Contrarian portfolio). We provide description of 1$ investment development through the period from 1998 to 2009 with comparison of all strategies in the period from 10/2007 to 03/2009 that is falling into the Financial Crisis period. All portfolios are compared based on the 1$ investment price development, their volatilities and their Sharpe ratios.|