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  • 标题:Style rotation and performance persistence of mutual funds
  • 本地全文:下载
  • 作者:Iwan MEIER ; Jeroen V.K. ROMBOUTS
  • 期刊名称:CORE Discussion Papers / Center for Operations Research and Econometrics (UCL), Louvain
  • 出版年度:2008
  • 卷号:1
  • 出版社:Center for Operations Research and Econometrics (UCL), Louvain
  • 摘要:Most academic studies on performance persistence in monthly mutual fund returns do not find evidence for timing skills of fund managers. Furthermore, realized returns are undoubtedly driven by the investment style of a fund. We propose a new holdings-based measure of style rotation to investigate the relation between performance persistence and changes in style. For a large sample of U.S. domestic equity mutual funds we find that top and bottom performing decile portfolios, sorted on past one-year returns and risk-adjusted excess performance from a 4-factor model, are subject to a higher degree of style rotation than middle deciles. Style inconsistent funds with high values for the style rotation measure in turn exhibit less persistence in decile rankings over subsequent years than style consistent funds. Hence, it is important for delegated portfolio management to consider style rotation when selecting managers based on past performance.
  • 关键词:mutual fund, performance persistence, style rotation.
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