Year of Graduation
Testing for the Investment Skills of the Russian Mutual Funds' Managers
Today all over the world more and more people are thinking how to manage their savings and how to make profitable investments. The possible way of investing capital in financial markets for the unprofessional investor is participation in the collective investment under the supervision of a professional manager. In this study, the presence of managers’ investment skills of the Russian mutual funds is investigated. In the developed markets, the existence of investment skills is not proven unambiguously. In the developing market economies a systematic beating of the market by some funds happens more often. The results of this research show that most asset managers do not have investment skills during the period from 2004 till 2017 – more than 95% of Russian funds do not show a steady positive result on the market. Only about 3,9% of managers (5 funds from investigated 128) are capable of overturning the market during periods of recovery, and during periods of recession. Moreover, the study show that the presence of corruption on the Russian market adversely affects the results of Russian mutual funds relative to the benchmark. Such methodologies as the Jensen’s alpha, the excess Traynor ratio, and the Sharpe ratio revealed that from 2004 till 2017 more successful funds were in the period of market growth, and during the period of recession the number of successful funds had been significantly decreasing. Using the "information ratio" indicator revealed another picture: more funds surpassed the reference portfolio just in time of negative market fluctuations. At the same time, the study does not reveal the dependence of the success of funds on relations with oligarchic structures and presence of western companies among the shareholders with extensive experience. The key factor of success for Russian funds is the direct connection of its shareholders or managers with large financial companies, banks and exchanges.