Style consistency and mutual fund returns: the case of Russia

Adiya Bayarmaa and Guglielmo Maria Caporale

No 7605, CESifo Working Paper Series from CESifo

Abstract: This paper carries out style analysis for Russian mutual funds using monthly data from the National Managers’ Association over the period January 2008-December 2017; specifically, it applies the RSBA method developed by Sharpe (1992) for evaluating the impact of style on returns, and uses the Style Drift Score (SDS) introduced by Idzorek (2004) as a measure of a fund’s style drifting activity. The main findings can be summarised as follows. In the Russian case there is a significant positive relationship between style consistency and profitability of funds. Further, Russian funds are characterised by a high level of style drift, namely deviations from the investment strategy declared at the time of registration as required by Russian law.

Keywords: mutual funds; style consistency; performance; Russia (search for similar items in EconPapers)
JEL-codes: C23 G14 G19 (search for similar items in EconPapers)
Date: 2019
New Economics Papers: this item is included in nep-cis and nep-tra
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_7605

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