Evaluating the Effectiveness of Index Funds Available to Private Investors

ANNOTATION Work 57 p., 3 prt., 14 pic., 21 tables, 31 sources EVALUATING THE EFFECTIVENESS OF INDEX FUNDS AVAILABLE TO PRIVATE INVESTORS The work is devoted to evaluating the effectiveness of index funds for a private investor, as well as the impact of various factors on the fund's profitability and its commission. The purpose of the work is to analyze the effectiveness of financial instruments of passive investment available to the Russian individual investor. The practical significance of the work lies in the fact that the results of the study can be used as an auxiliary tool when choosing an index fund. For the analysis, a sample was created that meets a number of criteria. The funds are traded on the Moscow Exchange, at least 152 trading days have passed since the start of trading of the index fund, and the fund's strategy is passive. The sample also included funds of at least 10 million rubles. Two regression models were constructed. The first one assessed the impact of factors (Tracking error, commission, correlation with the index, NAV) on the profitability of the index fund. In the second, the influence of factors (Tracking error, tracking difference, and NAV) on the fund's commission.