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Style drift and fund performance in up and down markets: Australian evidence

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  • Kathryn Holmes
  • Robert Faff

Abstract

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.

Suggested Citation

  • Kathryn Holmes & Robert Faff, 2008. "Style drift and fund performance in up and down markets: Australian evidence," Applied Financial Economics Letters, Taylor & Francis Journals, vol. 4(6), pages 395-398.
    • Handle: RePEc:taf:raflxx:v:4:y:2008:i:6:p:395-398
    DOI: 10.1080/17446540801964439
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    Cited by:

    1. Chowdhury, Md Iftekhar Hasan & Balli, Faruk & de Bruin, Anne, 2024. "Investment styles of islamic equity funds," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 172-187.

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