Бободжанов Бободжон Гуфронович
The Estimation of Mutual Funds Performance Based on Bootstrapping Simulation Alphas
Финансовые рынки и финансовые институты
During this paper, we evaluate the abilities of the asset manager of all actively managed Russian equity mutual funds, using a dataset spanning the period from January 2006 to December 2017. We utilize a bootstrapping methodology, which enables us to distinguish between skill and luck. We apply two benchmarks as an MSCI Russia Index and MOEX Russia Index. When we use MSCI Russia as a benchmark, we obtain the following results: the top 15% of the fund’s asset managers have a skill, whereas using MOEX Russia Index as a benchmark gives us the top 10% of the fund’s manager has a skill.