Risk and Return trade-off in CAMP portfolios: An Empirical Analysis

BSc. Ali Abdelgawad

Master's thesis

Abstract:

This thesis aims to detect the compatibility of the stock market in Egypt with the explanatory theory of the relationship between expected return and systemic risk, by attempting to apply the capital asset pricing model on a sample of listed companies on Egyptian Stock Exchange during the period 2017-2024.Study population and sample Includes the Egyptian Stock Exchange (EGX30, EGX70, and EGX100). Sample Companies included in the EGX30 index, which includes the largest companies in terms of activity and liquidity, reflecting the trends of local and foreign investors and used as a benchmark by financial institutions. The research sample includes the five largest companies in terms of relative weight in the EGX30: (Commercial International Bank - Egypt (CIB), Talaat Mustafa Group Holding, Eastern Company, Fawry for Banking and Electronic Payments Technology, IFG Holding Group). This thesis uses an ordinary least squares (OLS) regression model to study the risk-return trade-off relationship using the capital asset pricing model. The study uses a log-linear regression approach to measure the impact of these variables. The findings confirm that the Egyptian market partially aligns with the theoretical assumptions of the CAPM model the overall regression model revealed a strong and statistically significant positive relationship between market excess returns (Rm – Rf) and stock excess returns, as evidenced by the correlation coefficient (R = 0.709) and coefficient of determination (R² = 0.503). This indicates that approximately 50% of the variation in stock returns can be explained by market returns, confirming that systematic risk is a key determinant of expected return in the Egyptian market and offers recommendations For Financial Institutions: Incorporate beta sensitivity and risk premia into portfolio construction and performance evaluation, particularly in volatile sectors such as fintech (FWRY).

Keywords

Risk and Return trade-off, The Capital Asset Pricing Model (CAPM), Risks, Return, Investment portfolio

Jazyk práce: English

Datum vytvoření / odevzdání či podání práce: 15. 2. 2026

Obhajoba závěrečné práce

• Vedúci: doc. Ing. Karel Malec, Ph.D.
• Oponent: Robert Koželský, externi

Czech University of Life Sciences Prague

Faculty of Economics and Management

Master programme:
Economics and Management