Estimation of skill of Russian mutual fund managers

Petr Parshakov

Applied Econometrics, 2015, vol. 37, issue 1, 57-66

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.

Keywords: picking; skill; mutual fund (search for similar items in EconPapers)
JEL-codes: C22 C53 G11 G17 G23 (search for similar items in EconPapers)
Date: 2015
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