Int. J. of Computational Economics and Econometrics   »   2014 Vol.4, No.1/2

 

 

Title: Time aspects of a fund manager appraisal

 

Authors: Evgeny A. Ivin; Alexey N. Kurbatskiy; Alexandr V. Slovesnov

 

Addresses:
Moscow School of Economics, Moscow State Lomonosov University, 1, Building 61, Leninskie Gory, M.V. Lomonosov MSU, Moscow 119991, Russia
Moscow School of Economics, Moscow State Lomonosov University, 1, Building 61, Leninskie Gory, M.V. Lomonosov MSU, Moscow 119991, Russia
Moscow School of Economics, Moscow State Lomonosov University, 1, Building 61, Leninskie Gory, M.V. Lomonosov MSU, Moscow 119991, Russia

 

Abstract: We compare yields of the leading Russian managed funds with the MICEX index using different approaches to estimate the evaluation period of a fund manager. It is shown that in some special models the MICEX index can not be considered as a benchmark to compare different funds, and at the end of the paper such universal index is suggested. We also provide a special VBA program for its implementation.

 

Keywords: Russian equity markets; evaluation period; weighted index; time; fund managers; appraisal; Russia; modelling.

 

DOI: 10.1504/IJCEE.2014.060293

 

Int. J. of Computational Economics and Econometrics, 2014 Vol.4, No.1/2, pp.96 - 111

 

Date of acceptance: 16 Dec 2013
Available online: 08 Apr 2014

 

 

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