Style Consistency and Mutual Fund Returns: A Case of Russia

This paper carries out style analysis for Russian mutual funds using monthly data from the National Managers’ Association over the period of 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 and Bertsch (2004) as a measure of a fund’s style drifting activity. The main findings can be summarized as follows. In the Russian case, there is a significant positive relationship between style consistency and profitability of funds. Further, Russian funds are characterized by a high level of style drift, namely deviations from the investment strategy declared at the time of registration as required by Russian law.