financeФинансы: теория и практика/Finance: Theory and PracticeFinance: Theory and Practice2587-56712587-7089Financial University under The Government of Russian Federation10.26794/2587-5671-2024-28-5-44-55finance-3176Research ArticleДЕНЕЖНО-КРЕДИТНАЯ ПОЛИТИКАMONETARY & CREDIT POLICY«Сюрпризная составляющая» шоков денежно-кредитной политики и доходность взаимных фондов США“Monetary surprises” and Excess Return of the U. S. Mutual Fundshttps://orcid.org/0000-0002-0286-3526АртамоновН. В.ArtamonovN. V.

Никита Вячеславович Артамонов, кандидат физико-математических наук, доцент, заведующий кафедрой

кафедра математики, эконометрики и информационных технологий

Москва

Nikita V. Artamonov, Cand. Sci. (Phys. and Math.), Head of Department

Department of Mathematics, Econometrics and IT

Moscow

artamonov@inno.mgimo.ruhttps://orcid.org/0000-0001-6478-8034КурбацкийА. Н.KurbatskiiA. N.

Алексей Николаевич Курбацкий, кандидат физико-математических наук, доцент, заведующий кафедрой

кафедра эконометрики и математических методов экономики

Москва

Aleksei N. Kurbatskii, Cand. Sci. (Phys. and Math.), Head of Department

Department of Econometrics and Mathematical Methods in Economics

Moscow

akurbatskiy@gmail.comhttps://orcid.org/0000-0003-2280-6796СтрикалоК. А.StrikaloK. A.

Кристина Андреевна Стрикало, преподаватель

кафедра английского языка № 2

Москва

Kristina A. Strikalo, Lecturer

English Language Department No. 2

Moscow

strikalo.kristina@gmail.comМосковский государственный институт международных отношений (университет) МИД РФРоссияMoscow State Institute of International Relations (University)Russian FederationМосковский государственный институт международных отношений (университет) МИД РФ; Московская школа экономики МГУ им. М. В. ЛомоносоваРоссияMoscow State Institute of International Relations (University); Lomonosov Moscow State University, Moscow School of EconomicsRussian Federation2024291020242854455Copyright © Артамонов Н.В., Курбацкий А.Н., Стрикало К.А., 20242024Артамонов Н.В., Курбацкий А.Н., Стрикало К.А.Artamonov N.V., Kurbatskii A.N., Strikalo K.A.This work is licensed under a Creative Commons Attribution 4.0 License.https://financetp.fa.ru/jour/article/view/3176

   Целью работы является проверка значимости влияния неожиданного изменения направления денежно-кредитной политики (ДКП) Федеральной резервной системы (ФРС) на доходность взаимных фондов США за период с декабря 2007 по февраль 2022 г.

   Авторами была выявлена «сюрпризная составляющая» шоков ДКП за рассматриваемый период с помощью процедуры высокочастотной идентификации и проанализирована ДКП ФРС на современном этапе. Для анализа были отобраны 457 активно управляемых фондов с бенчмарком S&P500, их структурные характеристики были выгружены из терминала Bloomberg. На основе полученных панельных данных была построена модель с избыточной доходностью фондов в качестве зависимой переменной. Основная гипотеза о значимости «сюрпризной» компоненты шока ДКП при оценке эффективности деятельности взаимных активно управляемых фондов США подтвердились на периодах 2007–2009 и 2020 гг., когда в США была зафиксирована рецессия. Робастность результатов была проверена на моделях с различными спецификациями. Сделан вывод о том, что от неожиданного изменения ДКП зависит не только абсолютная динамика портфеля акций, но и относительная, так как, верно сделав ставку на разворот ДКП, можно существенно улучшить альфу портфеля фонда. В связи с этим для анализа качества управления портфелем и принятий решений о выборе фонда важно учитывать результат за весь экономический цикл: от восстановления и роста до замедления темпов экономического роста и рецессии.

   The purpose of this paper is to conduct statistical tests to verify the impact of unexpected monetary policy shocks on the U.S. mutual funds returns over the period from December 2007 to February 2022.

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The authors declare that there are no conflicts of interest present.