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Luck or Skill in Russian Mutual Fund Performance

Student: Abdullayev Sahib

Supervisor: Evgenia Mikova

Faculty: Faculty of Economic Sciences

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2020

This thesis investigates two methods of bootstrap statistical technique to examine the performance of the actively managed Russian equity mutual funds industry over the 2007 to 2020 period. On average, the alpha coefficient was negative on the Russian market. Fama and French (2010) bootstrap method showed that the alpha coefficient was insignificant, which indicates the market efficiency. The obtained results do not allow to assert that skills, rather than luck, influence the profitability of active funds. However, it should be stressed that we can not say that managers do not exactly have skills that would allow them to be ahead of the benchmark in a non-random way. The Kosowski (2006) bootstrap method showed more loyal estimates of significance, which is related to the specifics of the approach.

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