The current economic and political environment requires a rapid government response in managing the external and internal effects of economic shocks. Russian economy substantially relies on hydrocarbon revenue, thus the government formed National Wealth Fund (NWF) as a macroprudential instrument to mitigate the adverse effect of the global energy market. To this end, we utilise the Cross-Quantilogram framework to analyse the response of the NWF to Oil Demand, Supply and Risk Shocks ranging from 13 July 2012 until 30 June 2022. To decompose oil market shocks, we follow the new Ready (2018) identification methodology. We also establish the channels of possible responsiveness of NWF to structural oil shocks. Our empirical investigation demonstrates the NWF of Russia is highly anchored with oil market shocks. Specifically, NWF positively responds to Oil Demand Shock at the lower to the median quantiles of demand-side shock and low quantiles of National Wealth Fund. The negative responsiveness of the NWF of Russia to the Oil Supply Shock is profound at the higher quantiles of NWF and the least quantile of a supply shock. Finally, Oil Risk Shock affects negatively to NWF. The robust findings of the study may be used to derive important policy implications for utilising the NWF and regulating Russia's economic stability.