THE PERFORMANCE OF INVESTMENT COMPANIES IN RUSSIA presentation

8/18/2019 THE PERFORMANCE OF INVESTMENT COMPANIES IN RUSSIA presentation

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MASTER IN FINANCE & BANKING-6th

Master in Finance & Banking

CIFF Trustees:

MASTER IN FINANCE & BANKING – 6th EDITION

June 201

The Performance of Investment Companies in Russi

Svetlana ChernovolEkaterina Yalmanova



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!alue of our research

!

"ur resu#ts $% 'e use( ' )*n%n+*%#+"nsu#t%nts %n( $%n%,ers

! "ur resu#t +%n he#- t" %sset $%n%,e$ent

+"$-%n*es

! .e see "ur -r"/e+t %s % -"ss*'*#*t ")

%--#*+%t*"n *n e(u+%t*"n%# -r"+ess *n )*n%n+e

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Master in Finance & Banking "

Intro#uction

•

$%R $BECTI!ES

!Ch%r%+ter*e the *nest$ent +#*$%te *n Russ*%

!E3%$*ne (*))erent t-es ") )un(s %n( %n%#e *ts-er)"r$%n+e

!Inest*,%te the"ret*+%# '%s*s

!

M%e -r%+t*+%# %n%#s*s ") 20 *nest$ent )un(s!F*n( "ut the 'est *nest$ent )un(s

!G*e re+"$$en(%t*"ns )"r *nest"rs


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Investing in Russia' Investment climate an# opportunities

overvie(

)

•

*+Y I,!EST I, R%SSI-.• Russia is the (orl#/s 0th largest econom1 21 34P'• Russia has one of the largest #omestic markets in

the (orl#5 ranking 6th among 7)6 countries'•

Russia has one of the lo(est levels of pu2lic #e2tof an1 ma8or econom1 '

• Russia/s mi##le class triple# in the last 9 1ears'• 34P per capita is the largest among BRICS

countries'• :o( unemplo1ment rate of 9'9;'


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R%SSI- SC$RES +I3+ M-R


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I,!EST$R PERSPECTI!E $, R%SSI-

0

• $ver ?@; of investors (ho previousl1

investe# in Russia are happ1 a2out their

#ecision

• ?; of investors positivel1 value the

economic polic1 an# legislative

changes intro#uce# 21 the Russiangovernment to improve the investment

climate t their #ecision'

;0<

40<

;2<

27<


7/29MASTER IN FINANCE & BANKING-6thMaster in Finance & Banking

I,!EST$R PERSPECTI!E $, R%SSI-

• 6; of investors are convince#

that the large #omestic market5

#eveloping consumer finance

sector5 gro(ing levels of savings

an# personal income present

attractive investment

opportunities

• 6); of respon#ents note# that

8oining the *T$ ha# a significant

positive impact on the Russian

investment climate

?

72<

17<

7<

16<


8/29MASTER IN FINANCE & BANKING-6thMaster in Finance & Banking 6

Asset$%n%,e$ent

+"$-%n

)*,ur%t*e#

s-e%*n, +he)8

In,re(*ents %re#*e se+ur*t*es

") %n Inest$ent

)un(

C%e *s%n Inest$ent

)un(

=*e+e ") +%e*s % sh%re

.h*+h +%n 'e

s"#( "r '"u,ht

' %n *nest"r



• Investment fun#s inclu#eA

• $penen# fun#s = mutual fun#s>D• Close#en# fun#s•

Interval fun#s• Echangetra#e# fun#s ETFsD



Fun#s/ categories

Categor1$penen#

fun#sInterval fun#s

Close#en#

fun#sSt"+ )un(s 1;2 17 2>B"n( )un(s ;> 0 1B#en( )un(s > 16 40

M"ne $%ret )un(s > 0 2In(e3 )un(s 40 0 0

Fun(s ") )un(s 4 1 0

C"$$"(*t )un(s 7 0?e(,e )un(s 6 15

M"rt,%,e )un(s 5

Art tre%sures )un(s 1

@enture +%-*t%# )un(s 57

REIT 55>

=r*%te eu*t )un(s ;>

Rent )un(s ;7

Cre(*t )un(s 6T"t%#: 2; > >21

7@


11/29MASTER IN FINANCE & BANKING-6thMaster in Finance & Banking77

• RussiaA

• 70A

• First assets management companiesA

• Pioglo2al -sset Management 5 -B$ Capital5 Palla#a asset

management5 S2er2ank -sset Management

• First mutual fun#sA

• Palla#a 2on#s fun#

• Palla#a stock fun#

• S2er2ank G Il1a Muromets Bon# Fun#

4evelopment of Investment fun#s in Russia



Huantit1 of operating assets management companies -MCD

7

1>>5 1>>6 1>>; 1>>7 1>>> 2000 2001 2002 2004 200 2005 2006 200; 2007 200> 2010 2011 2012 2014 201

0

100

200

400

00

500

600


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Percentage of Interval Fun#s in @7)



Percentage of $penen# Fun#s in @7)

7)

0<

1><

22<

2<

;<

10<

St"+ )un(s

B"n( )un(s

B#en( )un(s

M"ne $%ret )un(s

In(e3 )un(s

Fun(s ") )un(s

4< 4<2<

6<

61<

><

7<

;< St"+0 )un(s B"n( )un(s B#en( )un(s

M"ne& $%r0et )un(s In(e3 )un(s Fun(s ") )un(s

C"$$"(*t& )un(s ?e(,e )un(s M"rt,%,e )un(s

Art tre%sures )un(s @enture +%-*t%# )un(s REIT

=r*%te eu*t& )un(s Rent )un(s Cre(*t )un(s

37%

33%

2%

16%

12%

St"+0 )un(s

B"n( )un(s

B#en( )un(s

M"ne& $%r0et )un(s

In(e3 )un(s

Fun(s ") )un(s

C"$$"(*t& )un(s

?e(,e )un(s

Percentage of Interval Fun#s in @7)



Quantity to NAV

79

1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 20140

100000000000

200000000000

300000000000

400000000000

500000000000

600000000000

Inter%# Fun(s O-enBen( Fun(s C#"seBen( Fun(s



ETF

• First ETF Finex appeared on MoscowExchange in April 2013

70



,ame T1pe Categor1

-sset Management

Compan1 ,-!5 million of ru2les

Resere O-enen( B"n(s

Trust Inest$ent

C"$-%n> 06;9>

S'er'%n – B"n(s I#*% Mur"$ets O-enen( B"n(s S'er'%n AssetM%n%,e$ent ; 4179>

R%*))e*sen B"n(s O-enen( B"n(s R%*))e*sen C%-*t%#9 t( 5 5495

A#)% C%-*t%# Resere Fun( O-enen( B"n(s A#)% C%-*t%#9 t( 2 67694

RASIB F*rst O-enen( Eu*t RASIB9 JSC 6059

S'er'%n – St"+s D"'rn*% N**t*+h O-enen( Eu*t

S'er'%n Asset

M%n%,e$ent2 ;079>

S'er'%n Te#e+"$$u+*+%t*"ns %n(

te+hn"#",*es O-enen( Eu*t

S'er'%n Asset

M%n%,e$ent

2 00590

S'er'%n G#"'%# Internet O-enen( Eu*t

S'er'%n Asset

M%n%,e$ent1 7479;

RASIB =r"s-e+t*e Inest$ents Inter%# Eu*t RASIB9 JSC 1 0709>

?*,h Te+h Inter%# Eu*t C%-*t%#9 t( 096

Inest'%#%n+e Inter%# Eu*t C%-*t%#9 t( 4679;

A#)% C%-*t%# Eu*t Gr".th Inter%# Eu*t A#)% C%-*t%#9 t( 2>>92

A#)% C%-*t%# Inter%# B#en( A#)% C%-*t%#9 t( 1 12691

O*# Fun( ") In(ustr*%# Re+"nstru+t*"n %n(Dee#"-$ent Inter%# B#en( C%-*t%#9 t( >0;92

Ener, Inest Inter%# B#en( Ener, Inest9 t( 4>597

C%-*t%#Inest Inter%# Inter%# B#en( Str%te, JSC 11;95

R@M Me,%-"#*s C#"seen( REIT RM C%-*t%#9 JSC 12 51>9

Tr%stn*"n – E%rth C#"seen(REIT Trustn*"n Asset

M%n%,e$ent9 t(; 46296

De#"" Centr C#"seen(REIT

N%*,%t"r9 t(6 7792

Re+"nstru+t*"n %n( Dee#"-$ent C#"seen(REIT K%#*t% Bus*ness ?"use9

t(6 17;977?

!hosen "unds


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MASTER IN FINANCE & BANKING-6thMaster in Finance & Banking

• #ata gathering$the %eague o" Manage&ent

!o&panies o" 'ussia

• Analysis o" 20 in(est&ent "unds

• Monthly prices "ro& 31)0*)13 to 31 )0*)1+

• A(erage return

• ,tandard de(iation

• -eta

• ,harpe 'atio

• .ensen/s Alpha

• Treynor 'atio

76

Finding out est in(est&ent "unds


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,harpe Measure

• where 'i is the return "or the port"olio i r"r

is the return o" the ris$"ree asset and idescries the standard de(iation o" thereturns o" port"olio i

7

i

i

i

RFR R Sh

σ

−

=


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,harpe &easure

Fun# name Sharpe Ratio

A#)% C%-*t%# Resere Fun( 29645

Resere 29474Re+"nstru+t*"n %n( Dee#"-$ent 196;2

S'er'%n G#"'%# Internet 192;7

R%*))e*sen B"n(s 190>;

S'er'%n Te#e+"$$u+*+%t*"ns %n( te+hn"#",*es 19025

De#"" Centr 09>41

S'er'%n – B"n(s I#*% Mur"$ets 0975

C%-*t%#Inest Inter%# 095;6

S'er'%n – St"+s D"'rn*% N**t*+h 09401

?*,h Te+h 092>

Ener, Inest 092;5

A#)% C%-*t%# 0921

Inest'%#%n+e 0911

M-R75

@


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Treynor Measure

7

• T$ Treynor ratio 'i$ port"olio i5s return '"r$

ris "ree rate 6i$ port"olio i5s eta

i

i

i

RFR R TR

β

−=


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Treynor &easure

Fun# name Tre1nor Ratio

A#)% C%-*t%# ;690>1

R%*))e*sen B"n(s 595;C%-*t%#Inest Inter%# 292;>

Tr%stn*"n – E%rth 29226

O*# Fun( ") In(ustr*%# Re+"nstru+t*"n %n( Dee#"-$ent 19266

Inest'%#%n+e 0977;

?*,h Te+h 09;;2

De#"" Centr 09>7R@M Me,%-"#*s 0940

S'er'%n – St"+s D"'rn*% N**t*+h 092;

Ener, Inest 09245

M-R6

S'er'%n Te#e+"$$u+*+%t*"ns %n( te+hn"#",*es 09>7;

Re+"nstru+t*"n %n( Dee#"-$ent 09>>7

S'er'%n G#"'%# Internet 19;24

A#)% C%-*t%# Resere Fun( 2915;

Resere 491>1


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.ensen Measure

• where 'i return "or port"olio i 7i$ the .ensenAlpha o" port"olio i '" is return o" the ris$

"ree asset '& is the return "or the &aretport"olio and 6i is the eta coe""icient "orport"olio i

"


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.ensen Al"a

Fun# name ensen -lfa

De#"" Centr 5947<Re+"nstru+t*"n %n( Dee#"-$ent 22945<

S'er'%n G#"'%# Internet 1>972<

S'er'%n Te#e+"$$u+*+%t*"ns %n( te+hn"#",*es 1;950<

S'er'%n – St"+s D"'rn*% N**t*+h 9>7<

A#)% C%-*t%# Resere Fun( 9>6<

R%*))e*sen B"n(s 49;><

S'er'%n – B"n(s I#*% Mur"$ets 49;2<

Resere 495><

C%-*t%#Inest Inter%# 495<

?*,h Te+h 29>5<

Ener, Inest 29;2<

A#)% C%-*t%# 1950<

Inest'%#%n+e 1906<

M-R4<

A#)% C%-*t%# Eu*t Gr".th 292><

RASIB F*rst 292><RASIB =r"s-e+t*e Inest$ents 5946<

)


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-est "unds

Fun# name

Sharpe

Ratio Tre1nor Ratio ensen -lfa -verage 3ra#e

A#)% C%-*t%# 0921 ;690>1 195 259>45 1

De#"" Centr 09>41 09>7 5947 159604 2Re+"nstru+t*"n %n( Dee#"-$ent 196;2 09>>7 22945 ;96;5 4

S'er'%n G#"'%# Internet 192;7 19;24 1>972 6957

S'er'%n Te#e+"$$u+*+%t*"ns %n( te+hn"#",*es 19025 09>7; 1;95 5976 5

R%*))e*sen B"n(s 190>; 595; 49;> 49;7 6

C%-*t%#Inest Inter%# 095;6 292;> 495 29102 ;

S'er'%n – St"+s D"'rn*% N**t*+h 09401 092; 9>7 1974 7 A#)% C%-*t%# Resere Fun( 29645 2915; 9>6 19714 >

?*,h Te+h 092> 09;;2 29>5 1944> 10

S'er'%n – B"n(s I#*% Mur"$ets 0975 095>6 49;2 19424 11

Ener, Inest 092;5 09245 29;2 190;; 12

Resere 29474 491>1 495> 09>2; 14

Inest'%#%n+e 0911 0977; 1906 0967; 1

M-R75 29226 19>4 09240 16

O*# Fun( ") In(ustr*%# Re+"nstru+t*"n %n(

Dee#"-$ent 092>6 19266 197> 0940; 1;

R@M Me,%-"#*s 0945 0940 1966 09525 17

RASIB F*rst 09107 0905; 292> 09717 1>

A#)% C%-*t%# Eu*t Gr".th 09141 09156 292> 0975> 20

RASIB =r"s-e+t*e Inest$ents 0944 09207 5946 19>6; 21

9


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'eco&&endations "or in(estors

• For ris a(erse in(estors8• Al"a !apital$9:nter(al -lend Fund;• #elo(oy !entr$9!losed$end "und real$estate ;

• 'ai


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• For risy in(estors8• ,eran $>loal :nternet 9open$end e?uity

"und;• ,eran $Teleco&&ucications and

technologies9open$end e?uity "und;

• ,eran @ ,tocs #orynia Niitich 9=pen$end E?uity "und;

• igh Tech 9:nter(al E?uity Fund;• :n(estalance 9:nter(al E?uity Fund;

?

'eco&&endations "or in(estors


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!onclusions

• AnalyBed 20 o" 'ussian in(est&ent "unds

• :n(estigated theoretical asis

•

Found out * est "unds

• >a(e reco&&endations "or in(estors

• !haracteriBed the :n(est&ent cli&ate in

'ussia

6


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MASTER IN FINANCE & BANKING 6thM t i Fi & B ki

Than you "or your

attentionC

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THE PERFORMANCE OF INVESTMENT COMPANIES IN RUSSIA presentation