Work detail

Do mutual funds offered in Czech Republic add value to investors?

Author: Mgr. Jiří Nosek
Year: 2022 - winter
Leaders: Mgr. Martin Hronec
Consultants:
Work type: Finance, Financial Markets and Banking
Masters
Language: English
Pages: 70
Awards and prizes:
Link: https://dspace.cuni.cz/handle/20.500.11956/171378
Abstract: We estimate the proportions of skilled, unskilled, and zero-alpha funds prevalent in the mutual Funds population easily accessible by Czech Investors. We
estimate alphas from a regression against a concise set of Exchange Traded
Funds and control for luck using False Discovery rate. We design a straightforward ETF selection algorithm and find that if investors adhere to simple
diversification rules, they can outperform a large proportion of mutual funds.
We further document a negative relationship between the performance of mutual funds and its Total Expense ratio, suggesting that portfolio managers are
on average unable to compensate their costs with better performance.

Partners

Deloitte

Sponsors

CRIF
McKinsey
Patria Finance
Česká Spořitelna
EY