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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Salavat Ilyasov
Analysis of Mutual Funds on the Russian Market for the Optimality of Equity Weights in the Portfolio
Financial Engineering
(Master’s programme)
2018
Annotation

In this paper, we study the effective management of the mutual fund portfolios, which consist of Russian stocks. In the practical part, a sample of 23 open mutual stock funds was analyzed at the interval of 2 years from July 2013 to July 2015.

The study examined the effective management of fund’s portfolio of shares through the efficiency ratios of Sharpe, Sortino, Traynor, Alpha Jenkins and Modigliani. Based on the information about the stocks, which were in the fund's portfolio at the end of each quarter period for two years, the theoretical portfolios from the same stocks were modeled.

The simulated portfolios were optimized by the risk-return criterion every quarter and rebalanced, after which the efficiency coefficients were calculated. The results of risk and return were converted into annual values and compared with the annual values of quarters portfolios of mutual funds.

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