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.
