Style drift, fund flow and fund performance
new cross-sectional evidence
DOI:
https://doi.org/10.61190/fsr.v16i1.4877Keywords:
Returns-based style analysis, Managed fund performance, Fund flows, Style driftAbstract
The linkages between style change, fund flows, fund size, and resulting fund performance are complex and not clearly understood. In this paper, we investigate these relationships using a sample of Australian multisector trusts over the sample period 1990 to 1999. We employ a range of fund performance measures of stock selectivity. We find that levels of style drift are positively related to selectivity performance, but are not related to fund flows. We also find that fund size is positively related to fund performance and negatively related to expense ratios. Implications of our findings for investors are identified in the paper.
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