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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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijcome:v:4:y:2014:i:1/2:p:96-111
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