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Master in Finance & Banking

The Performance of Investment Companies in Russia


Svetlana Chernovol
Ekaterina Yalmanova
June 2014

CIFF Trustees:

MASTER IN FINANCE & BANKING 6th EDITION


Master
in Finance
& Banking & BANKING-6th
MASTER
IN FINANCE

Value of our research

our results may be used by financial


consultants and managers
our result can help to asset management
companies
we see our project as a possibility of
application in educational process in finance
and banking

Master
in Finance
& Banking & BANKING-6th
MASTER
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Introduction

OUR OBJECTIVES

Characterize

the investment climate in Russia

Examine

different types of funds and analyze its


performance

Investigate
Make

theoretical basis

practical analysis of 20 investment funds

Find

out the best investment funds

Give

recommendations for investors

Master
in Finance
& Banking & BANKING-6th
MASTER
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Investing in Russia. Investment climate and opportunities


overview

WHY INVEST IN RUSSIA?


Russia is the worlds 6th largest economy by GDP.
Russia has one of the largest domestic markets in
the world, ranking 8th among 148 countries.
Russia has one of the lowest levels of public debt
of any major economy .
Russias middle class tripled in the last 5 years.
GDP per capita is the largest among BRICS
countries.
Low unemployment rate of 5.5%.

Master
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RUSSIA SCORES HIGH MARKS IN ECONOMIC RANKINGS

Bloombergs Best Countries for Business ranking

China

Brazil
India
Russia
0

10

20

30

40

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Russia placed 3rd among


BRICS countries and went
from 56th to 44rd place
beating India (48th), but
coming in behind Brazil
(38th) and China (28th).

60
5

INVESTOR PERSPECTIVE ON RUSSIA

30%

Over 70% of investors who previously


invested in Russia are happy about their
decision

70%

28%
72%

72% of investors positively value the


economic policy and legislative
changes introduced by the Russian
government to improve the investment
climate t their decision.

Master
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INVESTOR PERSPECTIVE ON RUSSIA

18%

82%

82% of investors are convinced


that the large domestic market,
developing consumer finance
sector, growing levels of savings
and personal income present
attractive investment
opportunities

16%

84%

Master
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84% of respondents noted that


joining the WTO had a significant
positive impact on the Russian
investment climate

Asset
management
company
(figuratively
speaking chef)

Ingredients are
like securities
of an Investment
fund

Master
in Finance
& Banking & BANKING-6th
MASTER
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Cake is
an Investment
fund

Piece of cake
is a share
which can be
sold or bought
by an investor

Investment funds include:


Open-end funds ( mutual funds)
Closed-end funds
Interval funds
Exchange-traded funds (ETFs)

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Funds categories

18
0
16
0
0
1

Closed-end
funds
29
1
30
2
0
0

Commodity funds

Hedge funds

15

Category
Stock funds
Bond funds
Blend funds
Money market funds
Index funds
Funds of funds

Open-end
funds
172
79
94
9
30
43

Interval funds

Mortgage funds

Art treasures funds

Venture capital funds

58

REIT

559

Private equity funds

79

Rent funds

78

Credit funds
Total:

64
921

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427

49

10

Development of Investment funds in Russia

Russia:

1996:

First assets management companies:

Pioglobal Asset Management , ABO Capital, Pallada asset


management, Sberbank Asset Management

First mutual funds:

Pallada bonds fund

Pallada stock fund

Sberbank Ilya Muromets Bond Fund

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Quantity of operating assets management companies (AMC)

600
500
400
300
200
100
0
1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

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Quantity of Investment Funds in Russia 1996-2014


1000
900
800
700
600
500
400
300
200
100
0
1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

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Percentage of Open-end Funds in 2014

Percentage of Interval Funds in 2014

Stock funds
10%

Stock funds
Bond funds

12%

Bond funds

Blend funds

7%

Blend funds

2%

40%

37%

16%

Index funds

Money market funds

Funds of funds

2%

Commodity funds

Index funds

22%

Money market funds

Hedge funds

Funds of funds

33%

19%

7%

3% 3%

8%

2%

Stock funds

Bond funds

Blend funds

Money market funds

Index funds

Funds of funds

Commodity funds

Hedge funds

Mortgage funds

Art treasures funds

Venture capital funds

REIT

Private equity funds

Rent funds

Credit funds

6%

9%

61%

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Quantity to NAV
600,000,000,000

500,000,000,000

400,000,000,000

300,000,000,000

200,000,000,000

100,000,000,000

1996 1997 1998 1999 2000


2001
2002 2003
2004 Funds
2005 2006
2007 2008
2009 2010 2011 2012 2013 2014
Interval
Funds
Open-end
Close-end
Funds

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ETF

First ETF Finex appeared on Moscow


Exchange in April 2013.

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Chosen funds
Name

Type

Category

Reserve

Open-end

Bonds

Sberbank Bonds Ilia Muromets

Open-end

Bonds

Asset Management
Company
Trust Investment
Company
Sberbank Asset
Management

Raiffeisen - Bonds

Open-end

Bonds

Raiffeisen Capital, Ltd.

5 543,5

Alfa Capital Reserve Fund

Open-end

Bonds

Alfa Capital, Ltd.

2 686,3

URALSIB First

Open-end

Equity

4 605,4

Sberbank Stocks Dobrynia Nikitich


Sberbank Telecommucications and
technologies

Open-end

Equity

Open-end

Equity

Sberbank Global Internet

Open-end

Equity

URALSIB, JSC
Sberbank Asset
Management
Sberbank Asset
Management
Sberbank Asset
Management

URALSIB Prospective Investments


High Tech
Investbalance

Interval
Interval
Interval

Equity
Equity
Equity

URALSIB, JSC
Capital, Ltd.
Capital, Ltd.

1 080,9
440,6
368,7

Alfa Capital Equity Growth

Interval

Equity

Alfa Capital, Ltd.

299,2

Alfa Capital
Oil Fund of Industrial Reconstruction and
Development

Interval

Blend

Alfa Capital, Ltd.

1 126,1

Interval

Blend

Capital, Ltd.

Energy Invest
CapitalInvest - Interval

Interval
Interval

Energy Invest, Ltd.


Strategy JSC

RVM Megapolis

Close-end

Blend
Blend
REIT

907,2
395,8

RWM Capital, JSC

12 519,4

REIT

TrustUnion Asset
Management, Ltd.

7 362,6

REIT

Navigator, Ltd.

6 848,2

REIT

Kalita Business House,


Ltd.

TrastUnion Earth

Close-end

Delovoy Centr

Close-end

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Reconstruction and Development
Close-end

NAV, million of rubles


9 067,9
7 318,9

2 708,9
2 005,0
1 838,7

117,5

6 187,817

Finding out best investment funds

Data gathering-the League of Management


Companies of Russia
Analysis of 20 investment funds
Monthly prices from 31/05/13 to 31 /05/14
Average return
Standard deviation
Beta
Sharpe Ratio
Jensens Alpha
Treynor Ratio
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Sharpe Measure

R i RFR
Sh i
i

where Ri is the return for the portfolio i, rfr


is the return of the risk-free asset and i
describes the standard deviation of the
returns of portfolio i

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Sharpe measure
Fund name
Alfa Capital Reserve Fund
Reserve
Reconstruction and Development
Sberbank Global Internet
Raiffeisen - Bonds
Sberbank Telecommucications and technologies
Delovoy Centr
Sberbank Bonds Ilia Muromets
CapitalInvest - Interval
Sberbank Stocks Dobrynia Nikitich
High Tech
Energy Invest
Alfa Capital
Investbalance
MARKET
URALSIB First
Alfa Capital Equity Growth
Oil Fund of Industrial Reconstruction and Development
URALSIB Prospective Investments
RVM Megapolis
TrastUnion Earth
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Sharpe Ratio
2,635
2,383
1,672
1,278
1,097
1,025
0,931
0,845
0,576
0,301
0,294
0,275
0,214
0,114
0,085
-0,108
-0,131
-0,296
-0,334
-0,345
-0,985

20

Treynor Measure

R i RFR
TR i
i

T- Treynor ratio, Ri- portfolioi's return, Rfrrisk free rate, i- portfolioi's beta

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Treynor measure
Fund name
Alfa Capital
Raiffeisen - Bonds
CapitalInvest - Interval
TrastUnion Earth

Treynor Ratio
76,091
5,547
2,279
2,226

Oil Fund of Industrial Reconstruction and Development


Investbalance
High Tech
Delovoy Centr
RVM Megapolis
Sberbank Stocks Dobrynia Nikitich
Energy Invest
MARKET
URALSIB First
Alfa Capital Equity Growth
URALSIB Prospective Investments
Sberbank Bonds Ilia Muromets
Sberbank Telecommucications and technologies
Reconstruction and Development
Sberbank Global Internet
Alfa Capital Reserve Fund
Reserve

1,266
0,887
0,772
0,498
0,430
0,247
0,235
0,011
-0,057
-0,156
-0,208
-0,596
-0,987
-0,998
-1,723
-2,157
-3,191

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Jensen Measure

where Ri return for portfolio i, i- the Jensen


Alpha of portfolio i , Rf is return of the riskfree asset, Rm is the return for the market
portfolio and i is the beta coefficient for
portfolio i .

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Jensen Alfa
Fund name
Delovoy Centr
Reconstruction and Development
Sberbank Global Internet
Sberbank Telecommucications and technologies
Sberbank Stocks Dobrynia Nikitich
Alfa Capital Reserve Fund
Raiffeisen - Bonds
Sberbank Bonds Ilia Muromets
Reserve
CapitalInvest - Interval
High Tech
Energy Invest
Alfa Capital
Investbalance
MARKET
RVM Megapolis
Oil Fund of Industrial Reconstruction and Development
TrastUnion Earth
Alfa Capital Equity Growth
URALSIB First
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Investments

Jensen Alfa
45,38%
22,35%
19,82%
17,50%
4,98%
4,96%
3,79%
3,72%
3,59%
3,45%
2,95%
2,72%
1,50%
1,06%
0,00%
-1,66%
-1,89%
-1,93%
-2,29%
-2,29%
-5,36%

24

Best funds
Fund name
Alfa Capital
Delovoy Centr
Reconstruction and Development
Sberbank Global Internet

Sharpe
Ratio
0,214
0,931
1,672
1,278

Treynor Ratio
76,091
0,498
-0,998
-1,723

Jensen Alfa
1,5
45,38
22,35
19,82

Average
25,935
15,603
7,675
6,458

Grade
1
2
3
4

Sberbank Telecommucications and technologies


Raiffeisen - Bonds
CapitalInvest - Interval

1,025
1,097
0,576

-0,987
5,547
2,279

17,5
3,79
3,45

5,846
3,478
2,102

5
6
7

Sberbank Stocks Dobrynia Nikitich


Alfa Capital Reserve Fund
High Tech
Sberbank Bonds Ilia Muromets
Energy Invest
Reserve
Investbalance
MARKET
TrastUnion Earth

0,301
2,635
0,294
0,845
0,275
2,383
0,114
0,085
-0,985

0,247
-2,157
0,772
-0,596
0,235
-3,191
0,887
0,011
2,226

4,98
4,96
2,95
3,72
2,72
3,59
1,06
0,00
-1,93

1,843
1,813
1,339
1,323
1,077
0,927
0,687
0,032
-0,230

8
9
10
11
12
13
14
15
16

Oil Fund of Industrial Reconstruction and


Development
RVM Megapolis
URALSIB First
Alfa Capital Equity Growth

-0,296
-0,345
-0,108
-0,131

1,266
0,430
-0,057
-0,156

-1,89
-1,66
-2,29
-2,29

-0,307
-0,525
-0,818
-0,859

17
18
19
20

URALSIB Prospective Investments

-0,334

-0,208

-5,36

-1,967

21

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Recommendations for investors

For risk averse investors:


Alfa Capital-(Interval Blend Fund)
Delovoy Centr-(Closed-end fund real-estate )

Raiffeisen - Bonds(Open-end Bonds fund)


CapitalInvest - Interval(Interval Blend Fund)
Energy Invest (Interval Blend Fund)

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Recommendations for investors

For risky investors:


Sberbank -Global Internet (open-end equity
fund)
Sberbank -Telecommucications and
technologies(open-end equity fund)
Sberbank Stocks Dobrynia Nikitich (Openend Equity fund)
High Tech (Interval Equity Fund)
Investbalance (Interval Equity Fund)

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Conclusions

Analyzed 20 of Russian investment funds

Investigated theoretical basis

Found out 5 best funds

Gave recommendations for investors

Characterized the Investment climate in


Russia

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Thank you for your


attention!

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