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CIFF Trustees:
Master
in Finance
& Banking & BANKING-6th
MASTER
IN FINANCE
Introduction
OUR OBJECTIVES
Characterize
Examine
Investigate
Make
theoretical basis
Find
Give
Master
in Finance
& Banking & BANKING-6th
MASTER
IN FINANCE
Master
in Finance
& Banking & BANKING-6th
MASTER
IN FINANCE
China
Brazil
India
Russia
0
10
20
30
40
Master
in Finance
& Banking & BANKING-6th
MASTER
IN FINANCE
50
60
5
30%
70%
28%
72%
Master
in Finance
& Banking & BANKING-6th
MASTER
IN FINANCE
18%
82%
16%
84%
Master
in Finance
& Banking & BANKING-6th
MASTER
IN FINANCE
Asset
management
company
(figuratively
speaking chef)
Ingredients are
like securities
of an Investment
fund
Master
in Finance
& Banking & BANKING-6th
MASTER
IN FINANCE
Cake is
an Investment
fund
Piece of cake
is a share
which can be
sold or bought
by an investor
Master
in Finance
& Banking & BANKING-6th
MASTER
IN FINANCE
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
58
REIT
559
79
Rent funds
78
Credit funds
Total:
64
921
Master
in Finance
& Banking & BANKING-6th
MASTER
IN FINANCE
427
49
10
Russia:
1996:
Master
in Finance
& Banking & BANKING-6th
MASTER
IN FINANCE
11
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
Master
in Finance
& Banking & BANKING-6th
MASTER
IN FINANCE
12
Master
in Finance
& Banking & BANKING-6th
MASTER
IN FINANCE
13
Stock funds
10%
Stock funds
Bond funds
12%
Bond funds
Blend funds
7%
Blend funds
2%
40%
37%
16%
Index funds
Funds of funds
2%
Commodity funds
Index funds
22%
Hedge funds
Funds of funds
33%
19%
7%
3% 3%
8%
2%
Stock funds
Bond funds
Blend funds
Index funds
Funds of funds
Commodity funds
Hedge funds
Mortgage funds
REIT
Rent funds
Credit funds
6%
9%
61%
Master
in Finance
& Banking & BANKING-6th
MASTER
IN FINANCE
14
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
Master
in Finance
& Banking & BANKING-6th
MASTER
IN FINANCE
15
ETF
Master
in Finance
& Banking & BANKING-6th
MASTER
IN FINANCE
16
Chosen funds
Name
Type
Category
Reserve
Open-end
Bonds
Open-end
Bonds
Asset Management
Company
Trust Investment
Company
Sberbank Asset
Management
Raiffeisen - Bonds
Open-end
Bonds
5 543,5
Open-end
Bonds
2 686,3
URALSIB First
Open-end
Equity
4 605,4
Open-end
Equity
Open-end
Equity
Open-end
Equity
URALSIB, JSC
Sberbank Asset
Management
Sberbank Asset
Management
Sberbank Asset
Management
Interval
Interval
Interval
Equity
Equity
Equity
URALSIB, JSC
Capital, Ltd.
Capital, Ltd.
1 080,9
440,6
368,7
Interval
Equity
299,2
Alfa Capital
Oil Fund of Industrial Reconstruction and
Development
Interval
Blend
1 126,1
Interval
Blend
Capital, Ltd.
Energy Invest
CapitalInvest - Interval
Interval
Interval
RVM Megapolis
Close-end
Blend
Blend
REIT
907,2
395,8
12 519,4
REIT
TrustUnion Asset
Management, Ltd.
7 362,6
REIT
Navigator, Ltd.
6 848,2
REIT
TrastUnion Earth
Close-end
Delovoy Centr
Close-end
Master
in Finance
& Banking & BANKING-6th
MASTER
IN FINANCE
Reconstruction and Development
Close-end
2 708,9
2 005,0
1 838,7
117,5
6 187,817
18
Sharpe Measure
R i RFR
Sh i
i
Master
in Finance
& Banking & BANKING-6th
MASTER
IN FINANCE
19
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
Master
in Finance
& Banking & BANKING-6th
MASTER
IN FINANCE
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
Master
in Finance
& Banking & BANKING-6th
MASTER
IN FINANCE
21
Treynor measure
Fund name
Alfa Capital
Raiffeisen - Bonds
CapitalInvest - Interval
TrastUnion Earth
Treynor Ratio
76,091
5,547
2,279
2,226
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
Master
in Finance
& Banking & BANKING-6th
MASTER
IN FINANCE
22
Jensen Measure
Master
in Finance
& Banking & BANKING-6th
MASTER
IN FINANCE
23
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
Master
in Finance
&URALSIB
Banking Prospective
MASTER
IN FINANCE
& BANKING-6th
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
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
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
-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
-0,334
-0,208
-5,36
-1,967
21
Master
in Finance
& Banking & BANKING-6th
MASTER
IN FINANCE
25
Master
in Finance
& Banking & BANKING-6th
MASTER
IN FINANCE
26
Master
in Finance
& Banking & BANKING-6th
MASTER
IN FINANCE
27
Conclusions
Master
in Finance
& Banking & BANKING-6th
MASTER
IN FINANCE
28
Master
in Finance
& Banking & BANKING-6th
MASTER
IN FINANCE
29