Russian Mutual Funds Performance Evaluation: A Quantitative Approach

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.