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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Natalya Obvintseva
Mutual Funds Performance Evaluation
Finance
(Master’s programme)
2018
This article shows that the high efficiency of funds does not necessarily mean the effective work of the manager and does not guarantee obtaining similar results in the future, in other words, you can get a high profitability of the fund due to accidental circumstances - good luck. To separate the "skills" from "luck", the bootstrap method was applied. In addition, using the modeling method, the choice of means with characteristics of real mutual funds and application of valuation methods to it also led to the conclusion about the ability of real fund managers.

The paper also provides an analysis of the best results of research on the risk-free rate and benchmark. For comparison of various market standards, the equilibrium portfolio was calculated, comparing it with the accepted market indicator of the market, which led to the fact that the strategy on the Russian market is more profitable and yields higher yields.

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