Time aspects of a fund manager appraisal
by Evgeny A. Ivin; Alexey N. Kurbatskiy; Alexandr V. Slovesnov
International Journal of Computational Economics and Econometrics (IJCEE), Vol. 4, No. 1/2, 2014

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.

Online publication date: Tue, 08-Apr-2014

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