G11 - Portfolio Choice; Investment DecisionsReturn

The article focuses on comparing the performance of domestic actively managed funds with ETFs, or Exchange Traded Funds, which are traded on stock exchanges and generally aim to track a selected index. It compares actively managed funds and ETFs from both a return and volatility perspective. Key indicators analyzed include average return, Sharpe ratio, Beta, Jensen's alpha, and Treynor ratio. The objective of this article is to conduct a detailed analysis and empirical evaluation of whether actively managed investment funds—managed by portfolio managers with the goal of achieving above-average returns—can outperform passively managed funds in the long run. These passive funds, such as index funds and ETFs, track the performance of a specific market or sector without active intervention from fund managers. The emphasis is placed on empirical observations, i.e., actual historical results, rather than theoretical considerations, to provide an objective assessment of whether active management delivers higher added value for investors compared to passive investing, which relies on long-term market growth.

The article on the occasion of the death of H. M. Markowitz, laureate of the Nobel Memorial Prize in Economics, presents his brief biography associated with the development of modern portfolio theory, sparse matrices and the SIMSCRIPTsimulation programming language.

This article focuses on the hedge fund industry, its specifics and impact on the financial system and, in particular on the rate of return, risk and performance produced by the sector. The rate of return, risk and performance of the hedge funds and other asset classes were derived from monthly returns, standard deviation and Sharpe ratios. The time periods 1997-2016 and 2000-2016 were considered. The hedge fund industry, compared to the stock market, the gold market, and the overall commodity market, brought a significantly higher return at a lower risk in the considered period. In the past years, as the two-dimensionally most powerful hedge funds in the short and long term appeared to be smaller funds managing assets up to 100 million USD, and in the medium term the largest funds managing assets over 1 billion USD. From the point of view of geographic asset allocation, the highest twodimensional performance was shown by funds allocating their assets to North American markets.

The concept of individual rationality had been crucial in financial theory. The proponents of behavioral finance argue that investors act irrationally, resulting in financial market distortions, which are not spontaneously corrected. This paper focuses on behavioral biases representing and describing the violation of fundamental axioms of rationality in the investor behavior. Using a questionnaire survey, this article examines the investor's six most common behavioral biases, their impact on the individual decision-making process and in the end formulates recommendations to eliminate their influence.

This paper analyzes the different approaches to the allocation of household savings in selected developed countries. We discuss not only the essential characteristics of financial instruments, but attention is also devoted to the analysis of the structure of household financial assets in the US, UK, Germany, Italy and Japan. Finally, the article explores the most important factors that cause the structure of the financial assets of households in developed countries. To sum up, among the main factors having influence on structure of households´ financial portfolios in the analyzed countries belong: total value of their assets and income, returns volatility of financial instruments, risk aversion and liquidity of financial instruments, chosen model of the pension system, demographic structure, effective protection of the rights of outside investors, financial literacy and traditional behavior patterns of the population.

The analysis demonstrates parameters of ten portfolios formed by ranking historical risk in the period 1999-2000 on the German stock market. Low volatility portfolios (or low beta portfolios) are able to have similar returns/outperform the market with lower risk. The performances of high volatility portfolios are poor relative to the market. Similar results are present on risk-adjusted basis.

The paper deals with problems related to valuation of equity capital markets using a well known FED model. Although the model has a relatively good explanatory power on historical data starting from 1979 to 2002, the recent development during the last financial crisis which started in 2007 and finished in 2009 resulted in significant deterioration of the models' usefulness for forecasting. We also outline selected specifications of the FED model and analyze its behavior during the financial crisis. We conclude that the reason for decrease in explanatory power stems from the change in economic fundamentals. The paper also explores theoretical drawbacks of the FED model.

This paper analyzes the impact of weather on the investment in the Czech and U.S. stock markets. It relies on the concept of behavioral finance, which analyzes the impact of psychology on investor decision-making. The influence of atmospheric phenomena is mainly studied as impact of occurrence of snow, rain or fog on the market returns. The research results show the impact of these phenomena only in a minority of cases. The research also analyzes the impact of the autumn season (SAD effect) on the psychology of investors and therefore market returns. This sequence wasn't rebutted only at the Czech stock market. The incidence of observed atmospheric effects also failed to explain the January and Monday effects.

Social Responsible Investing (SRI) means way how to invest money to firms which are not interested in profit only but they think about ecology, ethics a and social things etc. These firms use Corporate Social Responsibility in their strategic management. SRI is more used in abroad financial markets but in the Czech Republic can be used by investors too. ČSOB a. s. is one leader of SRI in the Czech financial market. ČSOB a. s. offers more then five SEE funds. This article is interested in theoretical definitions of SRI, SEE funds. Next part is interested in options at abroad and the Czech financial market in SRI.