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The Estimation of Mutual Funds Performance Based on Bootstrapping Simulation Alphas

Student: Bobojonov Bobojon

Supervisor: Evgenia Mikova

Faculty: Faculty of Economic Sciences

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2018

During this paper, we evaluate the abilities of the asset manager of all actively managed Russian equity mutual funds, using a dataset spanning the period from January 2006 to December 2017. We utilize a bootstrapping methodology, which enables us to distinguish between skill and luck. We apply two benchmarks as an MSCI Russia Index and MOEX Russia Index. When we use MSCI Russia as a benchmark, we obtain the following results: the top 15% of the fund’s asset managers have a skill, whereas using MOEX Russia Index as a benchmark gives us the top 10% of the fund’s manager has a skill.

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