English, Article edition: Style drift and fund performance in up and down markets: Australian evidence Kathryn Holmes; Robert Faff

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Bookmark: http://trove.nla.gov.au/version/50618
Physical Description
  • article
Language
  • English

Edition details

Title
  • Style drift and fund performance in up and down markets: Australian evidence
Author
  • Kathryn Holmes
  • Robert Faff
Physical Description
  • article
Notes
  • 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.
  • RePEc:taf:apfelt:v:4:y:2008:i:6:p:395-398
Language
  • English
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