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Estimation of skill of Russian mutual fund managers

Author

Listed:
  • Parshakov, Petr

    (Higher School of Economics (Perm), Russia)

Abstract

Our work is focused on Russian mutual funds managers’ skills versus luck estimating. Using bootstrap procedure we build Jensen’s alpha density for each fund. We find that only 5% of Russian equity mutual funds do have skills (in contrast to luck) to outperform the benchmark.

Suggested Citation

  • Parshakov, Petr, 2015. "Estimation of skill of Russian mutual fund managers," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 37(1), pages 57-66.
    • Handle: RePEc:ris:apltrx:0257
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    References listed on IDEAS

    as
    1. Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, May.
    2. L. M. Doncel & P. Grau & J. Otamendi & J. Sainz, 2011. "The truth about mutual funds across Europe," Applied Economics Letters, Taylor & Francis Journals, vol. 18(7), pages 687-692.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    picking; skill; mutual fund;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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