Style drift and portfolio management for active Australian equity funds

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dc.contributor.author Ainsworth, A
dc.contributor.author Fong, K
dc.contributor.author Gallagher, DR
dc.date.accessioned 2010-05-28T09:54:12Z
dc.date.issued 2008-01
dc.identifier.citation Australian Journal of Management, 2008, 32 (3), pp. 387 - 418
dc.identifier.issn 0312-8962
dc.identifier.other C1UNSUBMIT en_US
dc.identifier.uri http://hdl.handle.net/10453/10116
dc.description.abstract Using monthly active equity fund portfolio holdings, we examine the magnitude of style drift and decompose it into active and passive components. We find that while fund style tilts are consistent with their self-stated investment objective, there is variation in the degree of style bias within style groups. We document that funds actively adjust their portfolio holdings in response to passive style drift to retain a desired portfolio tilt. The degree of adjustment varies with the frequency over which the drift is measured, with funds being most responsive to changes in book-to-market and momentum drift. We also find that certain types of style drift affect portfolio turnover.
dc.publisher Australian Graduate School of Management
dc.relation.isbasedon 10.1177/031289620803200302
dc.title Style drift and portfolio management for active Australian equity funds
dc.type Journal Article
dc.parent Australian Journal of Management
dc.journal.volume 3
dc.journal.volume 32
dc.journal.number 3 en_US
dc.publocation Sydney, Australia en_US
dc.identifier.startpage 387 en_US
dc.identifier.endpage 418 en_US
dc.cauo.name BUS.Faculty of Business en_US
dc.conference Verified OK en_US
dc.for 1502 Banking, Finance and Investment
dc.personcode 107326
dc.percentage 100 en_US
dc.classification.name Banking, Finance and Investment en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords INVESTMENT STYLE; STYLE DRIFT; CONSISTENCY; PORTFOLIO MANAGEMENT; INVESTMENT PERFORMANCE. en_US
dc.description.keywords INVESTMENT STYLE
dc.description.keywords STYLE DRIFT
dc.description.keywords CONSISTENCY
dc.description.keywords PORTFOLIO MANAGEMENT
dc.description.keywords INVESTMENT PERFORMANCE.
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
utslib.collection.history Closed (ID: 3)


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