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Эконометрический анализ динамики российских паевых инвестиционных фондов в кризисный и посткризисный периоды

Zaytsev, Alexander (2011): Эконометрический анализ динамики российских паевых инвестиционных фондов в кризисный и посткризисный периоды. Published in: collection of best papers of international conference "Lomonosov-2011" (October 2011): 06-40.

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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.

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