The Russian ETF Puzzle and Its Possible Reasons
Algorithmic Finance, Vol. 6, No. 3-4, pp. 93-102, 2017
24 Pages Posted: 29 Dec 2016 Last revised: 25 Feb 2018
Date Written: June 1, 2017
In this paper, I document “the Russian ETF anomaly or puzzle.” Since 2014-2015, most Russian funds of funds have been investing only in one preselected western ETF. During the same period, this group of funds have raised more money than any other funds’ category in Russia. However, if an investor buys shares of an ETF via a mutual fund rather than doing it directly she overpays up to 36% of the invested capital over a 10-year horizon. Additionally, the paper provides a brief overview of the possible reasons for this, presumable, anomalous, suboptimal index investing behavior.
Keywords: The Russian ETF puzzle, Exchange Traded Funds, ETF, the Russian ETF anomaly, non-optimal index investing, index mutual funds, behavioral finance
JEL Classification: G02, G11
Suggested Citation: Suggested Citation