Time aspects of a fund manager appraisal. (9th April 2014)

• Record Type: Journal Article
• Authors: Ivin, Evgeny A.; Kurbatskiy, Alexey N.; Slovesnov, Alexandr V.
• Is Part Of: International journal of computational economics and econometrics. Volume 4:Number 1/2(2014)
• Page Start: 96
• Page End: 111
• Publication Date: 2014-04-09
• Subjects: Russian equity markets -- evaluation period -- weighted index -- time -- fund managers -- appraisal -- Russia -- modelling; Econometrics -- Periodicals; Economics -- Data processing -- Periodicals; 330.01519505
• Languages: English
• ISSNs: 1757-1170

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.