Style drift and fund performance in up and down markets : Australian evidence

Kathryn Holmes; Robert Faff

doi:10.1080/17446540801964439

Style drift and fund performance in up and down markets : Australian evidence

Kathryn Holmes, Robert Faff

School of Education

Research output: Contribution to journal › Article › peer-review

4 Citations (Scopus)

Abstract

We examine the impact of style drift on the fund performance measures of selectivity and market timing. We find that style drift is positively related to selectivity performance, only when the market is in decline. Flow volatility is positively related to market timing ability during upmarket conditions. In addition, we find that larger funds are superior at stock selection, regardless of market conditions.

Original language	English
Pages (from-to)	395-398
Number of pages	4
Journal	Applied Financial Economics Letters
Volume	4
Issue number	6
DOIs	https://doi.org/10.1080/17446540801964439
Publication status	Published - 2008

Keywords

Australia
mutual funds
performance

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10.1080/17446540801964439

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abstract = "We examine the impact of style drift on the fund performance measures of selectivity and market timing. We find that style drift is positively related to selectivity performance, only when the market is in decline. Flow volatility is positively related to market timing ability during upmarket conditions. In addition, we find that larger funds are superior at stock selection, regardless of market conditions.",

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AB - We examine the impact of style drift on the fund performance measures of selectivity and market timing. We find that style drift is positively related to selectivity performance, only when the market is in decline. Flow volatility is positively related to market timing ability during upmarket conditions. In addition, we find that larger funds are superior at stock selection, regardless of market conditions.

KW - Australia

KW - mutual funds

KW - performance

UR - http://handle.uws.edu.au:8081/1959.7/uws:32203

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DO - 10.1080/17446540801964439

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JO - Applied Financial Economics Letters

JF - Applied Financial Economics Letters

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ER -

Style drift and fund performance in up and down markets : Australian evidence

Abstract

Keywords

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