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 betw… Show more
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