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Determinants of return rates of Russian equity and bond mutual funds: Active investment strategies and commissions
https://doi.org/10.32609/0042-8736-2020-9-40-60
Abstract
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.
About the Authors
T. V. Teplova
National Research University Higher School of Economics
Russian Federation
Russian Federation
Tamara V. Teplova
Moscow
T. V. Sokolova
National Research University Higher School of Economics
Russian Federation
Russian Federation
Tatiana V. Sokolova
Moscow
A. Fasano
Luiss University
Italy
Italy
Antonio Fasano
Rome
V. A. Rodina
National Research University Higher School of Economics
Russian Federation
Russian Federation
Victoria A. Rodina
Moscow
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Review
For citations:
Teplova T.V., Sokolova T.V., Fasano A., Rodina V.A. Determinants of return rates of Russian equity and bond mutual funds: Active investment strategies and commissions. Voprosy Ekonomiki. 2020;(9):40-60. (In Russ.) https://doi.org/10.32609/0042-8736-2020-9-40-60
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