При анализе доходности ПИФов не все факторы в множественной модели ценообразования имели одинаково высокую объясняющую силу. На постоянной основе высокую значимость демонстрировал лишь фактор избыточной доходности широкого портфеля акций и отчасти фактор размера компаний. Влияние других факторов (стоимости, инерции и ликвидности) было незначительным на основных отрезках рассматриваемого временного интервала. Более того, общая значимость рассматриваемой пятифакторной модели демонстрировала тенденцию к снижению после кризиса 2008 года. Это явление может объясняться ростом с 2013 года доли вложений ПИФов акций в акции иностранных эмитентов и биржевых индексных фондов (ETFs), а также снижением с 2012 года объясняющей силы факторной модели ценообразования акций российских компаний по мере нарастания оттока с этого сегмента рынка средств иностранных портфельных инвесторов.
На примере различных стратегий отбора ПИФов показано, что при ежемесячном пересмотре состава таких портфелей использование информации о прошлой доходности фондов может привести к более высоким уровням избыточной доходности и коэффициентов альфа. Практика применения одной из многофакторных моделей ценообразования финансовых активов в целях оценки эффективности портфелей ПИФов акций только начинает развиваться. Тем не менее публичное раскрытие ежемесячной исторической доходности широкого спектра факторов доходности финансовых инструментов, в том числе через ресурс «Конструктор CAPM-ru», в будущем позволит разработать модели, способствующие более точному объяснению доходности паевых инвестиционных фондов.
Литература
1. Абрамов А. Е., Акшенцева К. С., Чернова М. И., Логинова Д. А., Новиков Д. В., Рады- гин А. Д., Сивай Ю. В. Экономика инвестиционных фондов / Под общ. ред. А. Д. Ра- дыгина. М.: Дело, 2015.
2. Абрамов А. Е., Радыгин А. Д., Чернова М. И. Модели ценообразования акций российских компаний и их практическое применение // Вопросы экономики. 2019. № 3. С. 48-76.
3. Berk J. B., Green R. C. Mutual Fund Flows and Performance in Rational Markets // Journal of Political Economy. 2004. Vol. 112. No 6. P. 1269-1295.
4. Blitz D., Huij J. Another Look at the Performance of Actively Managed Equity Mutual Funds // SSRN Electronic Journal, February 2012. https://www.ssrn.com/abstract=2004972.
5. Brandeis L. Other People's Money and How the Bankers Use It. N. Y.: Frederick A. Stock Company Publishers, 1913.
6. Carhart M. On Persistence in Mutual Fund Performance // Journal of Finance. 1997. Vol. 52. No 1. P. 7-82.
7. Christopherson J. A., Ferson W E., Glassman D. A. Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance // Review of Financial Studies. 1998. Vol. 11. No 1. P. 111-142.
8. Cremers M., Petajisto A. How Active Is Your Fund Manager? A New Measure That Predicts Performance // Review of Financial Studies. 2009. Vol. 22. No 9. P. 3329-3365.
9. Cremers M., Petajisto A., Zitzewitz E. Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation // Critical Finance Review. 2013. Vol. 2. No 1. P. 1-48.
10. Cuthbertson K., Nitzsche D., O'Sullivan N. A Review of Behavioural and Management Effects in Mutual Fund Performance // International Review of Financial Analysis. 2016. Vol. 44(C). P. 162-176.
11. Cuthbertson K., Nitzsche D., O'Sullivan N. Mutual Fund Performance: Measurement and Evidence // Journal of Financial Markets, Instruments and Institutions. 2010. Vol. 19. No 2. P. 95-187.
12. Dash R. S., Mahakud J. Do Asset Pricing Models Explain Size, Value, Momentum and Liquidity Effects? The Case of an Emerging Stock Market // Journal of Emerging Market Finance. 2014. Vol. 13. No 3. P 217-251.
13. DeMiguel V., Garlappi L., Nogales F J., Uppal R. A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms // Management Science. 2009. Vol. 55. No 5. P. 798-812.
14. Fama E. F., French K. R. Common Risk Factors in the Returns on Stocks and Bonds // Journal of Financial Economics. 1993. Vol. 33. No 1. P 3-56.
15. Fama E. F., French K. R. Luck Versus Skill in the Cross-Section of Mutual Fund Returns // Journal of Finance. 2010. Vol. 65. No 5. P 1915-1947.
16. Fama E. F, MacBeth J. Risk, Return and Equilibrium: Empirical Tests // Journal of Political Economy. 1973. Vol. 81. No 3. P 607-636.
17. Ferreira M. A., Keswani A., Miguel A. F., Ramos S. B. The Determinants of Mutual Fund Performance: A Cross-Country Study // Review of Finance. 2013. Vol. 17. No 2. P. 483-525.
18. Ferson W. E. Performance Measurement with Market and Volatility Timing and Selectivity // SSRN Electronic Journal, February 2012. https://ssrn.com/abstract=2022142.
19. Ferson W E., Schadt R. W Measuring Fund Strategy and Performance in Changing Economic Conditions // Journal of Finance. 1996. Vol. 51. No 2. P. 425-462.
20. Grossman S. J., Stiglitz J. E. On the Impossibility of Informationally Efficient Markets // American Economic Review. 1980. Vol. 70. No 3. P. 393-408.
21. Hendricks D., Patel J., Zeckhauser R. Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 // Journal of Finance. 1993. Vol. 48. No 1. P 93-130.
22. Jegadeesh N., Titman S. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency // Journal of Finance. 1993. Vol. 48. No 1. P 65-91.
23. Jensen M. C. The Performance of Mutual Funds in the Period 1945-1964 // Journal of Finance. 1968. Vol. 23. No 2. P 389-416.
24. Lam K. S. K., Tam L. H. K. Liquidity and Asset Pricing: Evidence from the Hong Kong Stock Market // Journal of Banking and Finance. 2011. Vol. 35. No 9. P 2217-2230.
25. Lehmann B., Timmermann A. Performance Measurement and Evaluation // Handbook of Financial Intermediation and Banking / A. Thakor, A. W. A. Boot (eds.). Amsterdam: Elsevier, 2007. P 189-259.
26. Lehmann B. N., ModestD. M. Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons // Journal of Finance. 1987. Vol. 42. No 2. P 233-265.
27. Sharpe W F Asset Allocation: Management Style and Performance Measurement // Journal of Portfolio Management. 1992. Vol. 18. No 2. P 7-19.
28. Wermers R. Performance Measurement of Mutual Funds, Hedge Funds, and Institutional Accounts // Annual Review of Financial Economics. 2011. Vol. 3. P 537-574.
References
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3. Berk J. B., Green R. C. Mutual Fund Flows and Performance in Rational Markets. Journal of Political Economy, 2004, vol. 112, no. 6, pp. 1269-1295.
4. Blitz D., Huij J. Another Look at the Performance of Actively Managed Equity Mutual Funds. SSRN Electronic Journal, 2012, February. https://www.ssrn.com/abstract=2004972.
5. Brandeis L. Other People's Money and How the Bankers Use It. N. Y., Frederick A. Stock Company Publishers, 2013.
6. Carhart M. On Persistence in Mutual Fund Performance. Journal of Finance, 1997, vol. 52, no. 1, pp. 7-82.
7. Christopherson J. A., Ferson W E., Glassman D. A. Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance. Review of Financial Studies, 1998, vol. 11, no. 1, pp. 111-142.
8. Cremers M., Petajisto A. How Active Is Your Fund Manager? A New Measure That Predicts Performance. Review of Financial Studies, 2009, vol. 22, no. 9, pp. 3329-3365.
9. Cremers M., Petajisto A., Zitzewitz E. Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation. Critical Finance Review, 2013, vol. 2, no. 1, pp. 1-48.
10. Cuthbertson K., Nitzsche D., O'Sullivan N. A Review of Behavioural and Management Effects in Mutual Fund Performance. International Review of Financial Analysis, 2016, vol. 44(C), pp. 162-176.
11. Cuthbertson K., Nitzsche D., O'Sullivan N. Mutual Fund Performance: Measurement and Evidence. Journal of Financial Markets, Instruments and Institutions, 2010, vol. 19, no. 2, pp. 95-187.
12. Dash R. S., Mahakud J. Do Asset Pricing Models Explain Size, Value, Momentum and Liquidity Effects? The Case of an Emerging Stock Market. Journal of Emerging Market Finance, 2014, vol. 13, no. 3, pp. 217-251.
13. DeMiguel V, Garlappi L., Nogales F. J., Uppal R. A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms. Management Science, 2009, vol. 55, no. 5, pp. 798-812.
14. Fama E. F., French K. R. Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, 1993, vol. 33, no. 1, pp. 3-56.
15. Fama E. F., French K. R. Luck Versus Skill in the Cross-Section of Mutual Fund Returns. Journal of Finance, 2010, vol. 65, no. 5, pp. 1915-1947.
16. Fama E. F., MacBeth J. Risk, Return and Equilibrium: Empirical Tests. Journal of Political Economy, 1973, vol. 81, no. 3, pp. 607-636.
17. Ferreira M. A., Keswani A., Miguel A. F., Ramos S. B. The Determinants of Mutual Fund Performance: A Cross-Country Study. Review of Finance, 2013, vol. 17, no. 2, pp. 483-525.
18. Ferson W. E. Performance Measurement with Market and Volatility Timing and Selectivity. SSRN Electronic Journal, 2012, February. https://ssrn.com/abstract=2022142.
19. Ferson W E., Schadt R. W Measuring Fund Strategy and Performance in Changing Economic Conditions. Journal of Finance, 1996, vol. 51, no. 2, pp. 425-462.
20. Grossman S. J., Stiglitz J. E. On the Impossibility of Informationally Efficient Markets. American Economic Review, 1980, vol. 70, no. 3, pp. 393-408.
21. Hendricks D., Patel J., Zeckhauser R. Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988. Journal of Finance, 1993, vol. 48, no. 1, pp. 93-130.
22. Jegadeesh N., Titman S. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance, 1993, vol. 48, no. 1, pp. 65-91.
23. Jensen M. C. The Performance of Mutual Funds in the Period 1945-1964. Journal of Finance, 1968, vol. 23, no. 2, pp. 389-416.
24. Lam K. S. K., Tam L. H. K. Liquidity and Asset Pricing: Evidence from the Hong Kong Stock Market. Journal of Banking and Finance, 2011, vol. 35, no. 9, pp. 2217-2230.
25. Lehmann B., Timmermann A. Performance Measurement and Evaluation. In: Thakor A., Boot A. W A. (eds.). Handbook of Financial Intermediation and Banking. Amsterdam, Elsevier, 2007, pp. 189-259.
26. Lehmann B. N., Modest D. M. Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons. Journal of Finance, 1987, vol. 42, no. 2, pp. 233-265.
27. Sharpe W. F. Asset Allocation: Management Style and Performance Measurement. Journal of Portfolio Management, 1992, vol. 18, no. 2, pp. 7-19.
28. Wermers R. Performance Measurement of Mutual Funds, Hedge Funds, and Institutional Accounts. Annual Review of Financial Economics, 2011, vol. 3, pp. 537-574.