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^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › Research › 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 - Nov 2008
Externally published	Yes

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10.1080/17446540801964439

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

Abstract

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