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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] 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 23/05/2017 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 23/05/2017 3 Structure of Baltic investment funds market – number of funds in breakdown by type 23/05/2017 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) 23/05/2017 5 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. 23/05/2017 6 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. 23/05/2017 7 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 23/05/2017 8 Measures selected for creating the rating Average return; M-square; Jensen alpha, obtained from CAPM. 23/05/2017 9 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 23/05/2017 10 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]