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

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

Available online: 08 Apr 2014

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