| Abstract [eng] |
The present master’s thesis analyses formation of value investment portfolio. A theoretical part focuses on the essence of investment portfolio formation as well as on the main principles of value investing strategy. Furthermore, it justifies the use of fundamental analysis to form a value investment portfolio and reveals the principles of the three main investment portfolio formation models that enables an investor to achieve this goal. Fundamental analysis consists of the U.S. and it‘s main export partners economical analysis, identification of the most promising U.S. industry sectors and selecting the stocks that fit with the value investing strategy. Hypothetical value investment portfolios are formed from these stocks, while using H. Markowitz, CAPM and APT models. This research emphasizes the importance of non-stationary data usage in APT model, which helps to objectively compare these three models and it‘s functionality. Hypothetical value investment portfolios are then tested in New York‘s stock market. Finally, this thesis proves, that APT model helps a value investor to achieve the highest return rate, while sustaining a moderate risk level. |
