TY - JOUR
T1 - Style Drift and Portfolio Management for Active Australian Equity Funds
AU - Ainsworth, Andrew B.
AU - Fong, Kingsley
AU - Gallagher, David R.
PY - 2008/3
Y1 - 2008/3
N2 - Using monthly active equity fund portfolio holdings, we examine the magnitude of style drift and decompose it into active and passive components. We find that while fund style tilts are consistent with their self-stated investment objective, there is variation in the degree of style bias within style groups. We document that funds actively adjust their portfolio holdings in response to passive style drift to retain a desired portfolio tilt. The degree of adjustment varies with the frequency over which the drift is measured, with funds being most responsive to changes in book-to-market and momentum drift. We also find that certain types of style drift affect portfolio turnover.
AB - Using monthly active equity fund portfolio holdings, we examine the magnitude of style drift and decompose it into active and passive components. We find that while fund style tilts are consistent with their self-stated investment objective, there is variation in the degree of style bias within style groups. We document that funds actively adjust their portfolio holdings in response to passive style drift to retain a desired portfolio tilt. The degree of adjustment varies with the frequency over which the drift is measured, with funds being most responsive to changes in book-to-market and momentum drift. We also find that certain types of style drift affect portfolio turnover.
UR - http://www.scopus.com/inward/record.url?scp=44449085881&partnerID=8YFLogxK
U2 - 10.1177/031289620803200302
DO - 10.1177/031289620803200302
M3 - Article
AN - SCOPUS:44449085881
SN - 0312-8962
VL - 32
SP - 387
EP - 418
JO - Australian Journal of Management
JF - Australian Journal of Management
IS - 3
ER -