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Econometric Evaluation of the Russian Investment Funds Performance

Student: Kornev Dmitrij

Supervisor: Oleg Viktorovich Poldin

Faculty: Faculty of Economics

Educational Programme: Master

Year of Graduation: 2014

<p>Currently, there are many ways to save and to increase accumulated wealth. For the usual investor one of the easiest ways to do this is to invest into an investment fund and earn revenue.</p><p>Now there are a myriad of investment funds in Russia. Their quantity varies all the time; some funds are stopped, some are opening up, the profitability of investment in each fund is changing.</p><p>Therefore, it is not easy to choose the most suitable investment fund.</p><p>There are several approaches to empirical analysis of the impact of investment funds and the stability of their performance over time.</p><p>Some are based on the calculation of the coefficients. For example, basic coefficients introduced by William F. Sharpe , Jack L. Traynor and Michael Jensen are widely used at the moment and are often referred to in foreign literature , for example, articles of Amenc N., Le Sourd V. or Amvella SP, Meier I.</p><p>In another approach the performance of investment funds is analyzed using Markov chains , such as in the work of Lee W.-T., Tai L.-A., Lai K.-E., 0 Huang C.-J., Mutual Funds performance persistence: using Markov transition probability matrix.</p><p>The main aim of this study is to analyze the performance of Russian investment funds using Markov chains. This work is devoted to the analysis of complete sample of Russian funds in the period 2005-2010. Using statistical data for the 6 years I analyzed the performance of all mutual funds of the Russian Federation. The analysis consisted of separating all funds into groups of yields and studying transitions between groups of funds.</p><p>&nbsp;I treated these transitions as a Markov chain and found Markov transition probability matrix.</p><p>In this analysis I identified the dependence of the transition probabilities on the group in which the fund was at a given moment of time.</p><p>In addition, some basic tests and hypotheses have been examined and studied. These tests are used to verify the Markov property.</p>

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