Style Consistency and Mutual Fund Returns: The Case of Russia

17 Pages Posted: 25 Apr 2019

See all articles by Adiya Bayarmaa

Adiya Bayarmaa

National Research University Higher School of Economics - International College of Economics and Finance

Guglielmo Maria Caporale

Brunel University London - Department of Economics and Finance; London South Bank University; CESifo (Center for Economic Studies and Ifo Institute); German Institute for Economic Research (DIW Berlin)

Date Written: 2019

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

JEL Classification: C230, G140, G190

Suggested Citation

Bayarmaa, Adiya and Caporale, Guglielmo Maria, Style Consistency and Mutual Fund Returns: The Case of Russia (2019). CESifo Working Paper No. 7605, Available at SSRN: https://ssrn.com/abstract=3377702

Adiya Bayarmaa (Contact Author)

National Research University Higher School of Economics - International College of Economics and Finance

Pokrovski Bulvar 11, Korpus Zh, Office 715
Moscow, 109028
Russia

Guglielmo Maria Caporale

Brunel University London - Department of Economics and Finance ( email )

Kingston Lane
Marie Jahoda Building
Uxbridge, Middlesex UB8 3PH
United Kingdom
+44 1895 266713 (Phone)
+44 1895 269770 (Fax)

HOME PAGE: http://www.brunel.ac.uk/about/acad/bbs/bbsstaff/ef_staff/guglielmocaporale/

London South Bank University ( email )

Centre for Monetary and Financial Economics
London
United Kingdom

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

German Institute for Economic Research (DIW Berlin) ( email )

Mohrenstraße 58
Berlin, 10117
Germany

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
27
Abstract Views
253
PlumX Metrics