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Russian Mutual Funds: Skill vs. Luck

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  • Petr Parshakov

    (National Research University Higher School of Economics)

Abstract

Our work is focused on Russian mutual funds managers' skills versus luck testing. Using the bootstrap procedure of Kosowski et al. (2007) we test Jensen's alpha signi cance for each fund. We found that only 5% of equity mutual funds do have skills. These results for the emerging Russian market are similar to previous studies of developed markets. Interestingly, skilled funds are not characterized with the extremely high alpha. This leads to an unexpected conclusion: an investor should avoid funds with a very high alpha

Suggested Citation

  • Petr Parshakov, 2014. "Russian Mutual Funds: Skill vs. Luck," HSE Working papers WP BRP 40/FE/2014, National Research University Higher School of Economics.
    • Handle: RePEc:hig:wpaper:40/fe/2014
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    References listed on IDEAS

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    More about this item

    Keywords

    asset management; Russian stock market; skill; mutual fund;
    All these keywords.

    JEL classification:

    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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