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Article

Оценка навыков российских управляющих активами

Прикладная эконометрика. 2015. Т. 37. № 1. С. 57-66.

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.