| Abstract [eng] |
Analysis of Investment Funds' Market in Baltic States: Relationship between Indicators of Investment Funds' Performance and Market Concentration The main purpose of this master thesis is to evaluate whether investment funds in Baltic States are managed more efficiently when market concentration of investment funds is higher. The results of research would help the investor to decide whether it is important considering the competitiveness of the mutual fund market in the region. The master thesis consists of three main parts: literature analysis, research and its results, conclusions and recommendations. Literature analysis highlighted the main types and characteristics of investment funds. In addition, the most commonly used indicators to measure funds performance were identified. The author also identified key indicators for measuring market concentration. An analysis of the Baltic investment funds market showed that the Baltic market was highly concentrated in 2000-2004, the average concentration level was reached in 2005 and since 2006 the market is unconcentrated. In the next phase, the 25 longest running mutual funds in Baltic market were selected and for each fund 5 time series of performance indicators were calculated. According to the results, the most efficient and inefficient funds were identified. Further, simulation modeling has been carried out, which has shown that sometimes inefficiently managed fund may be attractive to a conservative investor because of the 100 percent chance of earning a positive return within 10 years of the initial investment. Calculation of correlation coefficients revealed that a strong relationship (>0,7 or <-0,7) exist only between concentration index (HHI) and risk indicators (Beta, standard deviation). However, the results showed that there is an equal strength of both positive and negative relationships between the time series of these indicators, and in economic terms it means that we cannot state that decreasing market concentration will always be associated with decreasing risk or vice versa. |
