Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/198965 
Year of Publication: 
2019
Series/Report no.: 
CESifo Working Paper No. 7605
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
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.
Subjects: 
mutual funds
style consistency
performance
Russia
JEL: 
C23
G14
G19
Document Type: 
Working Paper
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