Transcript Baltijas ieguldījumu fondu tirgus analīze

The Performance of
Baltic Equity Funds
Tatjana Parfjonova
University of Latvia
Faculty of Economics and Management
Aspazijas Boulevard 5, Riga, LV-1010
E-mail: [email protected]
The Baltic investment funds market – level
of development
7.9%
6.6%
5.4%
3.3% 3.5%
1.5%
4.1%
Asset to
GDP ratio
2.1%
Country
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Slovakia
Poland
Hungary
Croatia
Czech Republic
Estonia
Turkey
Baltic
countries
Latvia
Lithuania
Bulgaria
0.6% 0.6%
0.2% 0.4%
Russia
9%
8%
7%
6%
5%
4%
3%
2%
1%
0%
Romania
Asset to GDP, %
Mutual fund assets against GDP, % (at the end of 2010)
2
Structure of Baltic investment funds market –
total assets in breakdown by country
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3
Structure of Baltic investment funds market –
number of funds in breakdown by type
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4
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)
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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.
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The results of the performance analysis
1. 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.
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The methodology of creating Baltic
equity funds rating
1. 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
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Measures selected for creating the
rating
 Average return;
 M-square;
 Jensen alpha, obtained from CAPM.
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The rating of Baltic equity funds – six
best funds
Fund name
Aver.
return
M2
(EM_EE)
M2
(OMX)

(OMX)

(EM_EE)
Total
points
Position
in rating
Trigon Active Alpha Fund
(Estonia)
3
1
1
1
1
7
1
Citadele Russian Equity Fund
(Latvia)
1
3
3
2
2
11
2
Trigon Emerging Financials
Fund A (Estonia)
5
2
2
4
5
18
3
Swedbank Central Asia Equity
Fund (Estonia)
4
8
8
6
3
29
4
Swedbank Russian Equity
Fund E-unit (Estonia)
2
10
10
3
4
29
5
Trigon Agri-Sector Fund A
(Estonia)
7
4
4
8
6
29
6
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The Performance of
Baltic Equity Funds
Tatjana Parfjonova
University of Latvia
Faculty of Economics and Management
Aspazijas Boulevard 5, Riga, LV-1010
E-mail: [email protected]