Using the False Discovery to identify lucky and skilled outperformances of UCITS investment funds domiciled in Luxembourg

This thesis will contribute to the luck versus skill debate of equity mutual funds. This has been a vivid discussion in the recent academic literature as well as in the professional wealth management field. To do so, this research will rely on five different factor models in order to estimate the alphas of equity funds which are compliant with the UCITS directive and which are domiciled in Luxembourg. The funds invest in the US, Europe, and Japan. Moreover, they are classified in different investment styles according to the Morningstar equity style box. Geographic exposure and investment styles allow to select the appropriate benchmarks. In a second part, I will make use of the relatively new model, the False Discovery Rate, to disentangle skill from luck as the main question is: Do equity mutual fund managers who domiciled their funds in Luxembourg have security selection skill? If they do, the combination of fiscal and regulatory advatages and skill would lead to outstanding arguments to attract investors.