Russian Mutual Funds: Skill vs. Luck

Petr Parshakov

HSE Working papers from 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

Keywords: asset management; Russian stock market; skill; mutual fund (search for similar items in EconPapers)
JEL-codes: C12 G23 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2014
New Economics Papers: this item is included in nep-cis, nep-fmk and nep-tra
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Published in WP BRP Series: Financial Economics / FE, December 2014, pages - 16

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Persistent link: https://EconPapers.repec.org/RePEc:hig:wpaper:40/fe/2014

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