Детерминанты доходности российских ПИФов акций и облигаций: активные инвестиционные стратегии и комиссии
In our paper, we study the impact of active investment strategies and factors of their success in the Russian market of collective investment — self-confidence of managers, commissions of management companies (MC) — on return rates of mutual funds. For the first time, not only equity mutual funds, but also bond mutual funds are considered as an object of study; the time period is since 2012. Our study is based on data on the structure of mutual fund portfolios provided by Investfunds. We propose a number of original indicators of an active management style and consider the profitability of mutual funds relative to various benchmarks. Based on testing of multivariate regression models, it has been revealed that the return rate of equity mutual funds is negatively affected by a share of stocks in the fund portfolio which are not included in the market index. When managers take into account their previous negative investment experience, it contributes to the growth of mutual fund return rates. Active investment strategies correlate with increased commissions (up to 4.5% of NAV), but they do not allow an investor to receive higher return rates than index investments. An increase in the share of corporate bonds allows the fund manager to outperform benchmarks for bond funds. For the first time, a nonlinear relationship between the size of mutual funds and the value of commissions has been revealed for the Russian market.
The monograph contains the results of a study of the theoretical and methodological issues of managing the liquidity of a firm. The essence of this category is determined, the types of liquidity and their financial consequences for the company are identified; various groups of methods for measuring liquidity of a company are summarized and systematized, allowing to give a comprehensive assessment of this financial characteristic, factors shaping it, ways to maintain liquidity and potential threats to reduce it. The fundamentals of liquidity management in the organization’s financial management system are investigated, providing for the need to implement the principles of interconnection and balance of strategic and short-term financial goals, risk and profitability of a company based on a two-tier liquidity management system. A system of methods, models and tools for managing liquidity is presented within the framework of the formation of the company's working capital management policy and the management of its components - stocks, receivables and payables, and cash, which determine the level of liquidity of the company. The features and priorities of managing the liquidity of transport companies are highlighted, which are based on an analysis of the specifics of their activities, capital formation, structure of current assets and sources of its financing.
The given research is devoted to the acute issue of efficiency of valuable assets positioning carried out by commercial banks. The paper is aimed at examining factors which affect the efficiency of securities placement by commercial banks, as well as an econometric analysis based on the least squares method of the significance of the selected factors and their impact on the efficiency indicator. While researching this issue the phenomenon of adaptability, which means the higher the price set is in comparison with the medium price scale the higher the underpricing at setting with corresponding other equal terms, was singled out The methods of critical literature review, statistical analysis, and econometric model creation have been used to justify it. Moreover, the research resulted in model creation which characterizes the state of a definite commercial bank to be ready for emission of assets by means of initial public offering.
The paper analyzes how the agricultural sector applies outsourcing in its practice. What differs the outsourcing from other forms of cooperation of enterprises is identified. We show that an agro-enterprise could function as an outsourcee. Some ways of how outsourcing can be used in the agricultural production to make its profitability higher are proposed here.
The paper examines the structure, governance, and balance sheets of state-controlled banks in Russia, which accounted for over 55 percent of the total assets in the country's banking system in early 2012. The author offers a credible estimate of the size of the country's state banking sector by including banks that are indirectly owned by public organizations. Contrary to some predictions based on the theoretical literature on economic transition, he explains the relatively high profitability and efficiency of Russian state-controlled banks by pointing to their competitive position in such functions as acquisition and disposal of assets on behalf of the government. Also suggested in the paper is a different way of looking at market concentration in Russia (by consolidating the market shares of core state-controlled banks), which produces a picture of a more concentrated market than officially reported. Lastly, one of the author's interesting conclusions is that China provides a better benchmark than the formerly centrally planned economies of Central and Eastern Europe by which to assess the viability of state ownership of banks in Russia and to evaluate the country's banking sector.
The paper examines the principles for the supervision of financial conglomerates proposed by BCBS in the consultative document published in December 2011. Moreover, the article proposes a number of suggestions worked out by the authors within the HSE research team.