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. |
