Pasivní investování přináší dlouhodobě vyšší výnosy než aktivně řízené fondy

This bachelor’s thesis focuses on comparing the performance of active and passive investment strategies over the period from 2004 to 2024. Active strategies are represented by equity mutual funds, while passive strategies are represented by ETFs that track market indices. The performance analysis of investment strategies is modeled using the Capital Asset Pricing Model (CAPM). The funds are categorized based on their geographical focus (U.S. market, European market, international markets, and emerging markets) as well as by the size of the companies in which they invest (large-cap, mid-cap, and small-cap). The main contribution of the thesis lies in the empirical application of the CAPM model to a broad set of historical data, allowing for a systematic comparison of the performance of active and passive strategies across different market segments. The results show that most categories of active funds achieved positive alpha values, but none were statistically significant at the 5% level. All alpha values were very close to zero, suggesting that active management does not outperform the market. The highest alpha values were observed among funds focused on the European market, small international companies, and emerging markets. In contrast, funds investing in large and mid-sized U.S. companies exhibited negative alpha, indicating underperformance relative to the market. However, given the statistical insignificance of these results, the analysis supports the Efficient Market Hypothesis. The findings indicate that active management did not consistently outperform passive ETF funds during the observed period, and they highlight the need for further research using alternative models or longer time series.