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Do mutual funds offered in Czech Republic add value to investors?
Nosek, Jiří ; Hronec, Martin (advisor) ; Jakubík, Petr (referee)
We estimate the proportions of skilled, unskilled, and zero-alpha funds preva- lent 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 straight- forward 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 mu- tual funds and its Total Expense ratio, suggesting that portfolio managers are on average unable to compensate their costs with better performance. JEL Classification C12, C20, G12, G23 Keywords Mutual Funds, Exchange Traded Funds, Perfor- mance evaluation Title Do mutual funds offered in Czech Republic add value to investors?
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Exchange Traded Funds a likvidita indexových portfolií
Bodeček, Ondřej
The thesis investigates if introduction of Exchange Traded Fund, which replicates given index, has impact on liquidity and risk of underlying component securities. This thesis specifically examines impact of introduction ETF called Lyxor ETF WIG20, which was introduced at Warsaw Stock Exchange. ETF holds stock of WIG 20 Index. The impact on liquidity is investigated by using univariate analysis and by using multivariate panel regression, where dummy variable is used. The impact on risk of component stock is analyzed by beta coefficient.
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Derivatives in family finances
Varecha, Martin ; Smrčka, Luboš (advisor) ; Zámečník, Petr (referee)
This thesis focuses on the derivatives market. The goal is to choose ones that are suitable for use for the benefit of family finances and planning. Mapping the world market derivatives, and then describes the basic characteristics of the main types of contracts. After the general characteristics of the derivatives in the introduction, are briefly described two types (forwads and swaps) that are not directly used in the family finances. In their description, however, are pointed out the fundamental principles of derivatives and trading with them. In the next section, the focus is on those derivatives that are suitable for use in household budgets. They include Futures, Options, Warrants, Investment Certificates, Exchange Traded Funds (ETF), Contracts for diference (CFD). There are also discussed basic principles of these instruments, their use and the current bid.
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