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Style consistency and mutual fund returns: the case of Russia

Author

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  • Adiya Bayarmaa
  • Guglielmo Maria Caporale

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.

Suggested Citation

  • Adiya Bayarmaa & Guglielmo Maria Caporale, 2019. "Style consistency and mutual fund returns: the case of Russia," CESifo Working Paper Series 7605, CESifo.
    • Handle: RePEc:ces:ceswps:_7605
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    References listed on IDEAS

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    1. Giuseppe Galloppo & Giovanni Trovato, 2017. "Fundamental driver of fund style drift," Journal of Asset Management, Palgrave Macmillan, vol. 18(2), pages 99-123, March.
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    3. Douglas Cumming & Grant Fleming & Armin Schwienbacher, 2009. "Style Drift in Private Equity," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(5‐6), pages 645-678, June.
    4. Moneta, Fabio, 2015. "Measuring bond mutual fund performance with portfolio characteristics," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 223-242.
    5. Cao, Charles & Iliev, Peter & Velthuis, Raisa, 2017. "Style drift: Evidence from small-cap mutual funds," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 42-57.
    6. Herrmann, Ulf & Rohleder, Martin & Scholz, Hendrik, 2016. "Does style-shifting activity predict performance? Evidence from equity mutual funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 112-130.
    7. Douglas Cumming & Grant Fleming & Armin Schwienbacher, 2009. "Style Drift in Private Equity," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(5‐6), pages 645-678, June.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    mutual funds; style consistency; performance; Russia;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G19 - Financial Economics - - General Financial Markets - - - Other

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