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Time aspects of a fund manager appraisal

Evgeny A. Ivin, Alexey Kurbatskiy (akurbatskiy@gmail.com) and Alexandr V. Slovesnov

International Journal of Computational Economics and Econometrics, 2014, vol. 4, issue 1/2, 96-111

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. (search for similar items in EconPapers)
Date: 2014
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