Russian Mutual Funds: Skill vs. Luck
In this paper, we empirically test the dependence of the Russian stock market on the world stock market, world oil prices and Russian political and economic news during the period 2001–2010. We find that oil prices are not significant after 2006, and the Japan stock index is significant over the whole period, since it is the nearest market index in terms of closing time to the Russian stock index. We find that political news like the Yukos arrests or news on the Georgian war have a short-term impact, since there are many other shocks. These factors confirm the structural instability of the Russian financial market.
We gladly invite both Academic and Industrial community to submit top quality Research papers and Industrial case presentations related to engineering, operations, and management of Engineering assets and Public infrastructures.
This call for Research papers and Industry presentations aims at drawing diverse industry wide and top Research expertise that can stimulate fresh discussions and views, create innovative ideas, and explore smart solutions. The WCEAM-2018 Congress will cover a range of Technical themes that has a direct connection to your passion, professional interest, and expertise. Those areas are of interest to Asset owners, Operators, Producers, Technology developers, Service providers, Public institutions, and the Academic & Research community.
We also cover a wide range of Industrial and Public sectors, inclusive of; Oil & Gas, Refining industry, Nuclear, Hydropower, Renewable Energy, Ocean & Maritime sector, Mining, Public Infrastructures and Land transportation, Green Manufacturing, Process industry, Engineering structures and Buildings, Construction sector, Healthcare Systems, Aeronautics and Aerospace, Information and Telecommunication sector. We actively encourage those who have top expertise on specific Technical themes to deliver a workshop, seminar, training activity, or a round table session at the Congress. If you are keen, we will be excited to hear from you. All Abstracts, Papers, and Presentations will be reviewed by the International Scientific Committee of the Congress for inclusion in the Congress Proceedings. Selected research and thought-leading industry papers will be peer reviewed, and if accepted will be published in the Springer ebook after the event titled, “Engineering assets and Public infrastructures in the Age of Digitalization” and subtitled, “Proceedings of the 13th World Congress on Engineering Asset Management”. The Springer ebook series is indexed by Scopus and is also currently being assessed for inclusion in EI Compendex. Past proceedings are available on the Springerlink web site.
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Each mutual fund is characterized by its investment strategies, investment structure and the level of liquidity of shares. As a result, it’s too difficult to compare yield of mutual funds of different management companies as well as various types of funds in order to select the most suitable for the investor fund. The article presents a comparative analysis of existing methods of ranking by leading rating agencies. Proposed and tested a method of ranking allows to reduce insufficiencies existing methods of ranking and simplifies the choice of efficient mutual funds for private investors.
The aim of this article is to prove the evidence of cross sectional momentum effect in Russian stock market within the variety of momentum strategy design elements and disclosure of the momentum effect nature.
Mutual fund is one of the most popular investment route by investor, who allocate part of their funds to capital market. This paper surveys the field of measuring mutual fund’s managers’s skills. We focus on market-timing and selecting skills.
We use a Markov chains models for the analysis of Russian stock market. First problem studied in the paper is the multiperiod portfolio optimization. We show that known approaches applied for the Russian stock market produce the phenomena of non stability and propose a new methods in order to smooth it. The second problem addressed in the paper is a structural changes on the Russian stock market after the financial crisis of 2008.We propose a hidden Markov chains model to analyse a structural changes and apply it for the Russian stock market.