Detail práce

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

Autor: Mgr. Jiří Nosek
Rok: 2022 - zimní
Vedoucí: Mgr. Martin Hronec
Konzultant:
Typ práce: Diplomová
Finance, finanční trhy a bankovnictví
Jazyk: Anglicky
Stránky: 70
Ocenění:
Odkaz: https://dspace.cuni.cz/handle/20.500.11956/171378
Abstrakt: 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.
Srpen 2022
poútstčtsone
1234567
891011121314
15161718192021
22232425262728
293031    

Partneři

Deloitte

Sponzoři

CRIF
McKinsey
Patria Finance
Česká Spořitelna
EY