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

See all articles by Evgeni Tarassov

Evgeni Tarassov

National Research University Higher School of Economics - Faculty of Economics

Date Written: June 1, 2017

Abstract

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

Tarassov, Evgeni, The Russian ETF Puzzle and Its Possible Reasons (June 1, 2017). Algorithmic Finance, Vol. 6, No. 3-4, pp. 93-102, 2017. Available at SSRN: https://ssrn.com/abstract=2819644 or http://dx.doi.org/10.2139/ssrn.2819644

Evgeni Tarassov (Contact Author)

National Research University Higher School of Economics - Faculty of Economics ( email )

Shabolovka 26
Moscow, 119049
Russia

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