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The Performance of Baltic Equity Funds

The Performance of Baltic Equity Funds. Tatjana Parfjonova University of Latvia Faculty of Economics and Management Aspazijas Boulevard 5, Riga, LV-1010 E-mail: tatjana_parfjonova@inbox.lv. The Baltic investment funds market – level of development.

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The Performance of Baltic Equity Funds

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  1. ThePerformanceofBalticEquityFunds TatjanaParfjonova University of Latvia Faculty of Economics and Management Aspazijas Boulevard 5, Riga, LV-1010 E-mail: tatjana_parfjonova@inbox.lv

  2. The Baltic investment funds market – level of development

  3. Structure of Baltic investment funds market – total assets in breakdown by country

  4. Structure of Baltic investment funds market – number of funds in breakdown by type

  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)

  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.

  7. The results of the performance analysis • 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. • 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. • Jensen alpha: • 3 funds outperformed OMXBBGI; • 12 funds outperformed MSCI Emerging Markets Eastern Europe Standard Index • The market timing ability of the fund managers is negative or non-existent.

  8. 1.Selecting measures used in creation of the rating. The methodology of creating Baltic equity funds 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.

  10. The rating of Baltic equity funds– six best funds

  11. ThePerformanceofBalticEquityFunds TatjanaParfjonova University of Latvia Faculty of Economics and Management Aspazijas Boulevard 5, Riga, LV-1010 E-mail: tatjana_parfjonova@inbox.lv

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