The Performance of Baltic Equity Funds Tatjana Parfjonova University of Latvia Faculty of Economics and Management Aspazijas Boulevard 5, Riga, LV-1010.

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Presentation transcript:

The Performance of Baltic Equity Funds Tatjana Parfjonova University of Latvia Faculty of Economics and Management Aspazijas Boulevard 5, Riga, LV

2 The Baltic investment funds market – level of development 16/08/2015

3 Structure of Baltic investment funds market – total assets in breakdown by country 16/08/2015

4 Structure of Baltic investment funds market – number of funds in breakdown by type 16/08/2015

5 Methodology and data (1) Choice of data 30 Baltic local domiciled equity funds; risk free rate – interest rate on Germany’s government 10 years bonds; benchmark portfolios – OMX Baltic Benchmark General Index (OMXBBGI) and MSCI Emerging Markets Eastern Europe Standard (MSCI EMEE) 16/08/2015

6 Methodology and data (2) Measures and models used to estimate performance of the funds: Raw returns Sharpe ratio; M-square; Jensen’s alpha; Treynor- Mazuy model; Henriksson- Merton model. 16/08/2015

7 The results of the performance analysis 16/08/ Average daily returns: 12 equity funds exceeded return of MSCI Emerging Markets Eastern Europe Standard Index; 7 equity funds exceeded average returns of both indeces. 2.Risk adjusted performance measures: Sharpe ratio and M-square indicated that majority of Baltic equity funds performed better than MSCI Emerging Markets Eastern Europe Standard Index but worse than OMXBBGI. 3.Jensen alpha: 3 funds outperformed OMXBBGI; 12 funds outperformed MSCI Emerging Markets Eastern Europe Standard Index 4.The market timing ability of the fund managers is negative or non-existent.

8 The methodology of creating Baltic equity funds rating 16/08/ Selecting measures used in creation of the rating. 2. Ranking of investment funds by each of the chosen measures. 3. Scoring (for each measure separately) and calculation of sum of scores 4. Ranking the investment funds by sum of scores THE RATING IS OBTAINED

9 Measures selected for creating the rating Average return; M-square; Jensen alpha, obtained from CAPM. 16/08/2015

10 The rating of Baltic equity funds – six best funds Fund name Aver. return M 2 (EM_EE) M 2 (OMX)(OMX) (EM_EE) Total points Position in rating Trigon Active Alpha Fund (Estonia) Citadele Russian Equity Fund (Latvia) Trigon Emerging Financials Fund A (Estonia) Swedbank Central Asia Equity Fund (Estonia) Swedbank Russian Equity Fund E-unit (Estonia) Trigon Agri-Sector Fund A (Estonia) /08/2015

The Performance of Baltic Equity Funds Tatjana Parfjonova University of Latvia Faculty of Economics and Management Aspazijas Boulevard 5, Riga, LV

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