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Эконометрический Анализ Динамики Российских Паевых Инвестиционных Фондов В Кризисный И Посткризисный Периоды
[Econometric analysis of Russian mutual funds in crisis and postcrisis periods]

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  • Zaytsev, Alexander

Abstract

Using estimated CAPM-models portfolio risks of Russian mutual funds are analyzed. Two questions are considered: how did mutual funds portfolio risks change during the crisis and postcrisis periods; did portfolio managers successfully fit the portfolio structure depending on market conditions? Analysis shows that portfolio risks of majority of funds were constant during the crisis period or even greater, than at precrisis period. This fact conflicts with right active management strategy. Despite the general bad performance of mutual funds, some true active funds were identified. Also it was confirmed (as in previous works) that as whole mutual funds returns do not outperform of that of market index (MICEX) and portfolio managers do not control risk properly in different market conditions.

Suggested Citation

  • Zaytsev, Alexander, 2011. "Эконометрический Анализ Динамики Российских Паевых Инвестиционных Фондов В Кризисный И Посткризисный Периоды [Econometric analysis of Russian mutual funds in crisis and postcrisis periods]," MPRA Paper 46437, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:46437
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    References listed on IDEAS

    as
    1. Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," The Journal of Business, University of Chicago Press, vol. 54(4), pages 513-533, October.
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    3. Grinblatt, Mark & Titman, Sheridan D, 1989. "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings," The Journal of Business, University of Chicago Press, vol. 62(3), pages 393-416, July.
    4. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    5. Russ Wermers, 2000. "Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses," Journal of Finance, American Finance Association, vol. 55(4), pages 1655-1695, August.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    mutual funds; active management; CAPM-model; portfolio risk; market timing;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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