Modification of the Three-Factor Fama-French Model and its Application to Assess the Efficiency of the Portfolio Management of Russian Investment Funds

The subject of the paper is the activity of managers of Russian investment funds. The aim of the paper is to determine the possibility of using widely applied abroad methods of assessment of the managers’ diving abilities in the Russian practice, adaptation to the conditions of the Russian market of the three — factor Fama-French model. The methods of analysis and synthesis, quantitative assessment, including in relation to the study of the assessment of the portfolio managers picking abilities, are used as the main research methods. The relevance of the research is to make proposals on the transformation of the Russian approach to assess the performance of collective investment fund managers and its subsequent practical use. The article presents the results of a statistical assessment of the effectiveness of the activities of Russian managers of open-end investment funds shares from the perspective of micro-forecasting. According to the results of the research, conclusions are drawn that both the multifactorial Fama-French regression and CAPM, traditionally used in foreign practice, tested on the data of the Russian stock market, have sufficient predictive abilities and allow to obtain statistically significant estimations of variables and finally can be recommended for practical use in Russia. The novelty of the research consists in the development of the author’s modification of the three-factor Fama-French regression (a model with the SPX-factor), which allows to obtain better regression factors estimations in comparison with the basic model, more accurately explains the process of excess returns generation of Russian openend investment funds and can be recommended for practical use. The result of the statistical analysis is the conclusion that the processes of portfolio management of Russian investment funds in 2009–2019 were characterized by a lack of managers’ skill for successful picking, the profitability received by the funds was more ensured by random factors.

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