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Volume 32 Number 3 March 2008 |
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Style Drift and Portfolio Management for Active Australian Equity Funds |
| Andrew B. Ainsworth Kingsley Fong David R. Gallagher |
Abstract |
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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.
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Keywords |
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INVESTMENT STYLE; STYLE DRIFT; CONSISTENCY; PORTFOLIO MANAGEMENT; INVESTMENT PERFORMANCE.
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Contact DetailsAndrew B. AinsworthKingsley Fong David R. Gallagher Australian School of Business, The University of New South Wales, Sydney, NSW 2052. Email: andrew.ainsworth@student.unsw.edu.au |
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This page was last updated in May 2008. Copyright © The University of New South Wales Phone: +61 2 9931 9200; Email: eajm@agsm.edu.au |