Modeling of factors determining the profitability of investment funds

Subject. The study is devoted to identifying the determinants that determine the profitability of exchange-traded investment funds. Objectives. Construction of an econometric model of multiple linear regression aimed at identifying the statistically significant impact of a combination of internal characteristics of funds and external macroeconomic indicators on their profitability. Methods. To achieve this goal, a multiple linear regression model was built. The dependent variable was the profitability of exchange-traded investment funds. Results. Based on the results of building a multiple linear regression model, the following statistically significant factors were identified that affect the profitability of exchange-traded investment funds: the key rate, the expense ratio, the turnover ratio, the degree of active management and the level of liquidity of the securities forming the fund's portfolio. The importance of key macroeconomic and institutional parameters for the formation of profitability of exchange-traded investment funds has been empirically confirmed. Conclusions. The results obtained have practical significance for investors and managers, as they form a quantitative basis for selecting exchange-traded investment funds, assessing their investment attractiveness, and designing effective strategies that ensure an optimal balance between costs, risk, and potential returns.