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Companies that manage investment portfolios of non-governmental pension funds: the main trends and prospects

Fedorova E.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( )

Sedykh D.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( )

Journal: Financial Analytics: Science and Experience, #30, 2015

Importance The managing company invests retirement savings and reserves, considering the regulator's restrictions and contracts with Pension Funds. As their main objective, managing companies are responsible for effective portfolio management by selecting the most promising issuing organizations that meet credit quality criteria, and striving for the maximum rate of return.
     Objectives The research analyzes portfolios and operations of Pension Fund managing companies. The analysis relies upon quarterly reports of 30 managing companies of the Russian Pension Fund.
     Methods We explore trends in economic indicators within 2004 through 2014. The research investigates trends in assets transferred on terms of trust and analyzes portfolios of managing companies (main types of assets in the managing company's portfolio, analysis of the rate of return on the aggregate investment portfolio). We also examine factors that influence employees' performance (salary, number of retirement savings management contracts with private pension funds) and review financial results.
     Results Following the analysis, we have found out that the portfolio efficiency and the managing company's performance, respectively, were affected with such assets as shares of open joint stock companies and bonds of the Russian profit-making entities. It refers to assets generating low dividend yield and high risk from revaluation of assets. Most companies try to consider this risk and mitigate it by placing or depositing their funds with credit institutions.
     Conclusions and Relevance Managing companies strive to increase the market value of investment portfolio by raising the value of its assets as a whole, but often neglecting such permitted financial instruments as bonds of external bond loans of the Russian Federation, government securities of the Russian Federation.

Assessment of external and internal factors affecting the effectiveness of activities of pension management companies

Fedorova E.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( )

Didenko A.S. Financial University under Government of Russian Federation, Moscow, Russian Federation ( )

Sedykh D.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( )

Journal: Financial Analytics: Science and Experience, #33, 2014

The article provides an estimation of efficiency of activities of 46 companies, which managed pension savings for the period of 2004-2012 on the basis of the DEA (Data Envelopment Analysis) methodology application. The authors point out that the used DEA model considered the portfolios of the management companies as a unit of decision making, which transform the risk, human and financial capital in an active returns and quality of diversification. The paper describes the measure of incoming risk, which was assumed as follows: the average for the quarter conditional value at risk (Conditional VaR) of the CVaRs portfolio. With respect of the measure of human capital, the paper assumes portfolio management fees within the framework of the activities of a particular investment portfolio and as a measure of financial capital - net assets value (NAV). The quality of portfolio NAV diversification was determined through the covariance of proportions of asset portfolio. The active returns, defined as the excess return over the benchmark yield portfolio (yield of benchmark applications of asset classes in the portfolio) served as earnings yield. The authors emphasize that the panel regression facilitated detection of the external factors (the exchange rate index of the Moscow Interbank Currency Exchange (MICEX) and the interbank sector rates for loans placement) and internal factors (balanced strategy of investment portfolios management, life of the portfolio and seasonality), which affect the efficiency of the activities of the asset management companies. On the basis of calculations, the paper revealed that the most optimal investment strategy is balanced strategy and that a large proportion of assets such as the blue-chip stocks and the amount of monetary assets in the accounts impacted negatively on the performance of portfolio management. The authors identify the seasonality in the investment portfolio management and underline that the third quarter turns out as the most difficult quarter for company. The lifetime of the investment portfolio had a negative impact on the efficiency of its management. This is due to the increase in total net asset value, as well as because of the restrictions imposed by trust agreements that reduce the degree of assets diversification.

Evaluating the effectiveness of arbitration pricing of Moscow Stock Exchange and London Stock Exchange

Fedorova E.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( )

Popov V.Yu. Financial University under Government of Russian Federation, Moscow, Russian Federation ( )

Sedykh D.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( )

Afanas'ev D.O. Financial University under Government of Russian Federation, Moscow, Russian Federation ( )

Journal: Financial Analytics: Science and Experience, #31, 2014

The paper considers the possibility of arbitration strategy regarding the depository receipts at the LSE IOB and the shares on the Moscow Stock Exchange. The main reason for choosing this particular area for this article is that the most of the trading on the LSE IOB is performed using transactions of the shares of the Russian companies. In December of 2013, the total volume of trading on the IOB amounted to 19.7 billion U.S. dollars, at that time, the trading volume of depository receipts of the Russian companies amounted to 17.2 billion U.S. dollars. Building of models of arbitration strategy requires defining of its parameters and inputting data on the ground of which you can later determine the break-even spread. Such data include as follows: the amount of the arbitration position, which reflects the cumulative amount of the open deals in both markets, which reaches 1 000 000 U.S. dollars; the price of the depositary receipts, which is determined individually for each receipt, in US dollars; the adjusted value of the local share of the LOC; brokerage commission when trading on the Moscow Stock Exchange and the London Stock Exchange is 0,02% of the transaction amount for both trading platforms. Having built an arbitration model for each security, the final list of the securities was defined, according to which in 2013, one can implement the strategy of spatial arbitration earning a profit. Based on the analysis of the break-even spreads, which have been identified for the period of 2013 the profitability of the initially invested funds amounted to 49%, which is a significant indicator for the relatively risk-free model. The program aimed at the accelerated converting of the local shares into depositary receipts, which was introduced in 2014. The program will allow cutting back on the length of the conversion operation from the several days to a couple of hours within one day. The article demonstrates the potential economic effect of the arbitrage transactions using the example of the most liquid financial instruments with dual listing. The paper points out that the aforementioned effect was equal to 55,4%. The authors state that the highest increase of the margin was demonstrated by the more expensive securities, such as shares and depository receipts of OAO Lukoil and OJSC Uralkali.

Prospects for regional banks' development in modern conditions of the Russian banking system transformation

Sedykh N.V. Kuban State Technological University (KUBSTU), Krasnodar, Krasnodar Krai, Russian Federation ( )

Journal: Finance and Credit, #5, 2019

Subject The article analyzes regional banks in the current conditions of institutional transformation and offers their development prospects.
Objectives The aim is to unveil areas for future development of regional banks.
Methods The study draws on methods of logical and statistical analysis, as well as information from official sources, and regulatory documents.
Results I found out certain problems related to regional banks in modern conditions of the banking environment transformation. They include a reduction of the total number of regional banks caused by license revocation and acquisition by large public and private commercial banks, deterioration of their financial condition for the analyzed period, and insufficient supply of banking services of regions.
Conclusions and Relevance If present trends continue, there may be a sharp decline in the regional supply of banking services. This will have an adverse impact on small and medium-sized businesses that mainly rely on services provided by regional banks. For the sake of their future development, regional banks should organize clusters and implement innovative financial technologies of low capital intensity.

The main directions and tools for the strategic development of the Rostov region's agro-industrial complex

Sedykh Yu.A. Rostov State Economic University, Rostov-on-Don, Russian Federation ( )

Mishchenko K.M. Rostov State Economic University, Rostov-on-Don, Russian Federation ( )

Journal: Regional Economics: Theory and Practice, #35, 2014

Importance In connection with the growing threats and challenges of post-crisis development of the Rostov region economy in the conditions of Russia's access to the WTO, there is a need to improve the competitiveness of the regional system of agriculture to ensure food security, and in the future to increase the export potential of the region. The relevance is determined by the fact that during the transition period of liberalization of export and import terms of trade in agriculture, while formulating a regional economic policy it is important to implement the related positive effects. Those effects include attracting investment, technologies and expansion of sales markets.
     Objective The paper's main goals are to define the main advantages and growth opportunities of agrarian and industrial complex of the Rostov region, to compose recommendations to ensure successful strategic development of the region.
     Methods In the article, we assess the potential of the Rostov region in the agro-industrial complex by using the economic-statistical methods, the methods of complex analysis, such as the SWOT analysis.
     Results The paper formulates the main directions and tools of strategic development of agro-industrial complex of the Rostov region, including the planned development of an institutional structure of agricultural production, provision of infrastructural facilities, development of material and technical and engineering base, chemicalization of agriculture, support of cooperation of agricultural producers, the organization of the centralized system of purchases from private households.
     Conclusions and Relevance We consider that the balanced regional policy, involving cluster organization of production, an optimization of territorial placement of elements of the logistics system, and the formation of special agro-industrial parks must serve as the key tool for strategic development of the agro-industrial complex of the Rostov region. The implementation of the proposed measures on the strategic development of agriculture of the Rostov region will contribute to increasing its competitiveness and investment attractiveness, which will have a positive impact on the overall socio-economic situation of the region.

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