INVESTMENT STYLE VOLATILITY AND MUTUAL FUND PERFORMANCE

被引：0
|
作者：
Brown, Keith C. [1 ]
Harlow, W., V [2 ]
Zhang, Hanjiang [3 ]
机构：
[1] Univ Texas Austin, McCombs Sch Business, Dept Finance, B6600, Austin, TX 78712 USA
[2] Fidel Investments, 245 Summer St, Boston, MA 02110 USA
[3] Washington State Univ, Carson Coll Business, Dept Finance & Management Sci, Pullman, WA 99164 USA
来源：
JOURNAL OF INVESTMENT MANAGEMENT | 2021年 / 19卷 / 01期
关键词：
Portfolio management; style investing; style volatility; performance persistence; RISK; PERSISTENCE; RETURNS; GROWTH;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We develop a holdings-based statistic to measure the volatility of a fund's investment style characteristic profile over time. On average, funds with lower levels of style volatility significantly outperform more style-volatile funds on a risk-adjusted basis. We show that style volatility has a distinct impact on future fund performance compared to fund expenses or past risk-adjusted returns, with the level of indirect style volatility being the primary determinant of the overall effect. We conclude that deciding to maintain a less volatile investment style is an important aspect of the portfolio management process.
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页码：25 / 61
页数：37
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