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HSE University

Efficiency of the ETFs Market

Student: Shnekutis Sergey

Supervisor: Sergey V. Kurochkin

Faculty: Faculty of Economic Sciences

Educational Programme: Financial Engineering (Master)

Year of Graduation: 2020

These days, Russian financial market has seen an increase in the number of open individual investment accounts, amid falling interest rates, more and more retail investors are interested in obtaining higher returns than commercial banks offer on deposits. One of the simple ready-made solutions for an unqualified investor is exchange-traded funds, where more and more asset management companies are joining, and existing ones are expanding their product line on it (TNA of Russian exchange-traded funds in February 2020 of $ 722 million against $ 272 million in February 2019). In this master's thesis, an analysis of the effectiveness of ETF for segments of stocks and bonds on the Russian market using the CAPM model is applied, the tracking errors for available tools are calculated, factors that could influence this process using regression analysis are identified and various specifications in models. The results can be useful for retail investors to choose the best investment solution in their own portfolio, analyzing instruments with similar investment policy.

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