• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Vadim Mamaev
Russian Mutual Funds Performance Evaluation: A Quantitative Approach
Finance
(Master’s programme)
8
2018
This master's thesis is devoted to the evaluation of mutual investment funds of shares using the bootstrap method. As a benchmark, the work demonstrates three approaches to creating a portfolio based on financial instruments available to the investor and that reproduce the IMOEX Index and the MICEX Index 10. The first approach is to invest in index mutual funds. The second approach is based on the re-creation of the portfolio of shares from the MICEX Index 10 based on the archival basis of the calculation. And the last portfolio consists of futures for the IMOEX Index. The result of applying the bootstrap approach is the identification of the best funds that received excessive returns not only relative to the benchmark, but also relative to other funds. In this paper, the full stage of the passage from receiving and processing data, describing, constructing and implementing the model is demonstrated, ending with obtaining the result on real data and developing an investment strategy.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses