The Determinants of Mutual Funds Performance in Russia

Аннотация

Ksenia Akshentseva is a junior researcher at the Institute of Applied Economic Research of the Russian Academy of National Economy and Public Administration under the President of the Russian Federation. Email ksakshentceva@gmail.com

Alexander Abramov is a candidate of economic sciences, a leading researcher at the Institute of Applied Economic Research of the Russian Academy of National Economy and Public Service under the President of the Russian Federation, Professor of the Department of the Stock Market and the Investment Market, National Research University "Higher School of Economics". Email: ae_abramov@mail.ru

Despite 19 years of the existence of mutual funds in Russia, their performance and effectiveness remain not deeply investigated subjects. The deficit of academic research has a negative influence on the investors’ and regulator’s attitude towards the collective investment market in Russia. In contrast to many other countries oriented on the development of internal stock market, collective investment in Russia does not yet play an active role in the mobilization of internal private savings.This article intends to partially make up for the lack of knowledge about the economy of mutual funds in Russia. It presents the analysis of three measures of mutual fund performance in Russia: the share return, net flow and management company fee. The analysis is based on a unique dataset which contains information about characteristics of 755 mutual funds and covers a 13 year period of the existence of the collective investment sector in Russia. The mutual fund return is able to outperform inflation, return on government bonds and return on the 50/50 strategy. During the periods 2000-2013 and 2008-2013 the abnormal return, net flow and management company fee have followed the same regularity as their foreign counterparts. Thus, mutual funds are one of the most important players in the Russian financial market. We also showed that for the successful development of collective investment in Russia it is necessary to increase the scale of operations, cost management effectiveness and transparency