Аннотация:We deal with a problem of estimating the performance of management of a unit investment trust. If we speak about the Russian equity market the estimation is usually based on comparison of fund's rates with appropriate characteristics of the Russian benchmark that is the MICEX index. Every manager fills his fund with investment ideas but he is able to estimate only approximately the probability with which they will be realized. It may turn out that some of his ideas won't be realized at all or they will be affected by unpredictable scenarios. In the paper we estimate the time necessary to make a conclusion about manager's performance and show that short-term periods are not optimal a priori and it's not worth to invest in Russian stocks for only a few months.
Comparing yields of the leading Russian managed fund with the MICEX index we use different approaches to estimate necessary time for reliable conclusion about the effectiveness of the fund manager. It is also shown that the MICEX index can't be considered as a benchmark to compare different funds and such universal index is suggested.