Systematic Literature Review: Mutual Fund Style Drift
Total Citations: 6,580 | Sorted by Year (Descending)
Barry Lin, Dongliang Pan, & Yezhou Sha (2025). The impact of ESG investment on fund performance: Evidence from mutual fund style drift. Pacific-Basin Finance Journal. https://doi.org/10.1016/j.pacfin.2025.102707
Petter Bjerksund, Trond Døskeland, André Wattø Sjuve, & Andreas Ørpetveit (2025). Forced to be Active: Evidence from a Regulation Intervention. Management Science. https://doi.org/10.1287/mnsc.2023.03124
Alexander Hillert, Alexandra Niessen‐Ruenzi, & Stefan Ruenzi (2024). Mutual Fund Shareholder Letters: Flows, Performance, and Managerial Behavior. Management Science. https://doi.org/10.1287/mnsc.2021.03417
Danxia Wang (2024). Beyond active share: Boosting fund performance through common holdings with same-benchmark mutual funds. International Review of Financial Analysis. https://doi.org/10.1016/j.irfa.2024.103095
Boris Korenak, Nikola Stakić, & Tamara Vesić (2023). Understanding the dynamics of investment factors and exchange-traded funds performance in the U.S. market 2018-2022. International Review. https://doi.org/10.5937/intrev2304123k
Jianxiang Liu, & Wenyu Yi (2023). Does the style drift caused by frequent cross-industry portfolio rebalancing harm fund performance? Evidence from China. Finance research letters. https://doi.org/10.1016/j.frl.2023.104838
Mayank Patel, Vinodh Madhavan, Supratim Das Gupta, & Satish Kumar (2023). Performance persistence and style consistency of Indian fixed income mutual funds – A longitudinal study. International Review of Financial Analysis. https://doi.org/10.1016/j.irfa.2023.102535
C. Wei Li, Ashish Tiwari, & Lin Tong (2022). Mutual fund tournaments and fund Active Share. Journal of Financial Stability. https://doi.org/10.1016/j.jfs.2022.101083
Fernando Muñoz, Cristina Ortiz, & Luís Vicente (2022). Ethical window dressing: SRI funds are as good as their word. Finance research letters. https://doi.org/10.1016/j.frl.2022.103109
Richard B. Evans, Martin Rohleder, Hendrik Tentesch, & Marco Wilkens (2022). Diseconomies of Scale in Quantitative and Fundamental Investment Styles. Journal of Financial and Quantitative Analysis. https://doi.org/10.1017/s0022109022000618
Sadok El Ghoul, & Aymen Karoui (2022). Fund performance and social responsibility: New evidence using social active share and social tracking error. Journal of Banking & Finance. https://doi.org/10.1016/j.jbankfin.2022.106598
Brandon N. Cline, & Collin Gilstrap (2021). Active share: A blessing and a curse. The Journal of Financial Research. https://doi.org/10.1111/jfir.12246
George J. Jiang, Bing Liang, & Huacheng Zhang (2021). Hedge Fund Manager Skill and Style-Shifting. Management Science. https://doi.org/10.1287/mnsc.2020.3945
Huaizhi Chen, Lauren Cohen, & Umit G. Gurun (2021). Don't Take Their Word for It: The Misclassification of Bond Mutual Funds. The Journal of Finance. https://doi.org/10.1111/jofi.13023
Nawazish Mirza, Syed Kumail Abbas Rizvi, Irum Saba, Bushra Naqvi, & Larisa Yarovaya (2021). The resilience of Islamic equity funds during COVID-19: Evidence from risk adjusted performance, investment styles and volatility timing. International Review of Economics & Finance. https://doi.org/10.1016/j.iref.2021.09.019
Ping McLemore, Richard W. Sias, Chi Wan, & H. Zafer Yüksel (2021). Active Technological Similarity and Mutual Fund Performance. Journal of Financial and Quantitative Analysis. https://doi.org/10.1017/s0022109021000685
Wolfgang Bessler, Thomas Conlon, Diego Víctor de Mingo‐López, & Juan Carlos Matallín‐Sáez (2021). Mutual fund performance and changes in factor exposure. The Journal of Financial Research. https://doi.org/10.1111/jfir.12266
Angeline Kim Pei Chua, & On Kit Tam (2020). The shrouded business of style drift in active mutual funds. Journal of Corporate Finance. https://doi.org/10.1016/j.jcorpfin.2020.101667
Lidia Lobán, José Luis Sarto, & Luís Vicente (2020). Eurozone regulation bias in the active share measure. International Review of Financial Analysis. https://doi.org/10.1016/j.irfa.2020.101564
Yezhou Sha (2019). The devil in the style: Mutual fund style drift, performance and common risk factors. Economic Modelling. https://doi.org/10.1016/j.econmod.2019.10.004
Mehmet Sencicek (2018). Does Institutional Outperform Retail? Performance Comparisons of Mutual Funds Using Traditional Measures. The BRC Academy Journal of Business. https://doi.org/10.15239/j.brcacadjb.2018.08.01.ja03
Charles Cao, Peter Iliev, & Raisa Velthuis (2017). Style drift: Evidence from small-cap mutual funds. Journal of Banking & Finance. https://doi.org/10.1016/j.jbankfin.2017.01.009
Martijn Cremers (2017). Active Share and the Three Pillars of Active Management: Skill, Conviction, and Opportunity. Financial Analysts Journal. https://doi.org/10.2469/faj.v73.n2.4
Andrea Frazzini, Jacques Friedman, & Łukasz Pomorski (2016). Deactivating Active Share. Financial Analysts Journal. https://doi.org/10.2469/faj.v72.n2.2
Huaizhi Chen, Lauren Cohen, & Dong Lou (2016). Industry Window Dressing. Review of Financial Studies. https://doi.org/10.1093/rfs/hhw020
Hyeong Tae Cho, & Sung Man Yoon (2016). Tax-motivated Management of Return on Mutual Fund: Evidence from the Korean Market. Research Journal of Business Management. https://doi.org/10.3923/rjbm.2017.1.14
Martijn Cremers, & Ankur Pareek (2016). Patient capital outperformance: The investment skill of high active share managers who trade infrequently. Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2016.08.003
Meinanda Kurniawan, Janice C. Y. How, & Peter Verhoeven (2016). Fund governance and style drift. Pacific-Basin Finance Journal. https://doi.org/10.1016/j.pacfin.2016.08.006
Yi Li, & Lei He (2016). False discoveries in style timing of Chinese mutual funds. Pacific-Basin Finance Journal. https://doi.org/10.1016/j.pacfin.2016.04.005
Adam Zaremba (2015). The January seasonality and the performance of country-level value and momentum strategies. Copernican Journal of Finance & Accounting. https://doi.org/10.12775/cjfa.2015.024
Edem Okon Akpan (2014). Board Characteristics and Company Performance: Evidence from Nigeria. Journal of Finance and Accounting. https://doi.org/10.11648/j.jfa.20140203.17
Martijn Cremers, & Ankur Pareek (2014). Patient Capital Outperformance: The Investment Skill of High Active Share Managers Who Trade Infrequently. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2498743
Antti Petäjistö (2013). Active Share and Mutual Fund Performance. Financial Analysts Journal. https://doi.org/10.2469/faj.v69.n4.7
Edward Qian (2013). Are Risk-Parity Managers at Risk Parity?. The Journal of Portfolio Management. https://doi.org/10.3905/jpm.2013.40.1.020
Jamie Alcock, Andrew Baum, Nicholas Colley, & Eva Steiner (2013). The Role of Financial Leverage in the Performance of Private Equity Real Estate Funds. The Journal of Portfolio Management. https://doi.org/10.3905/jpm.2013.39.5.099
Gjergji Cici (2012). The Prevalence of the Disposition Effect in Mutual Funds’ Trades. Journal of Financial and Quantitative Analysis. https://doi.org/10.1017/s0022109012000348
Russ Wermers (2012). Matter of Style: The Causes and Consequences of Style Drift in Institutional Portfolios. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2024259
Esther Eiling, Bruno Gérard, & F.A. de Roon (2011). Euro-Zone Equity Returns: Country versus Industry Effects. European Finance Review. https://doi.org/10.1093/rof/rfq034
Maria Céu Cortez, Florinda Silva, & Nelson Areal (2011). SOCIALLY RESPONSIBLE INVESTING IN THE GLOBAL MARKET: THE PERFORMANCE OF US AND EUROPEAN FUNDS. International Journal of Finance & Economics. https://doi.org/10.1002/ijfe.454
Martijn Cremers, Miguel A. Ferreira, Pedro Matos, & Laura T. Starks (2011). The Mutual Fund Industry Worldwide: Explicit and Closet Indexing, Fees, and Performance. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.1830207
Martijn Cremers, Miguel A. Ferreira, Pedro Matos, & Laura T. Starks (2011). The Mutual Fund Industry Worldwide: Explicit and Closet Indexing, Fees, and Performance. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.1785552
Antti Petäjistö (2010). Active Share and Mutual Fund Performance. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.1685942
Laurent Bodson, Alain Coën, & Georges Hübner (2010). DYNAMIC HEDGE FUND STYLE ANALYSIS WITH ERRORS‐IN‐VARIABLES. The Journal of Financial Research. https://doi.org/10.1111/j.1475-6803.2010.01268.x
Rodrigo Dupleich, Daniel Giamouridis, Spyros Mesomeris, & Nima Noorizadeh (2010). Unbundling common style exposures, time variance and style timing of hedge fund beta. Journal of Asset Management. https://doi.org/10.1057/jam.2010.2
Scott Mackey, & Michael R. Melton (2010). Hedge Funds: Do They Do What They Say They Do?. Journal of Business & Economics Research (JBER). https://doi.org/10.19030/jber.v8i10.769
Franz Fuerst, & Gianluca Marcato (2009). Style Analysis in Real Estate Markets: Beyond the Sector and Region Dichotomy. The Journal of Portfolio Management. https://doi.org/10.3905/jpm.2009.35.5.104
Keith C. Brown, W. V. Harlow, & Hanjiang Zhang (2009). Staying the Course: The Role of Investment Style Consistency in the Performance of Mutual Funds. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.1364737
Unknown Author (2008). Liquidity, Investment Style, and the Relation between Fund Size and Fund Performance. Journal of Financial and Quantitative Analysis. https://doi.org/https://doi.org/10.1017/s0022109000004270
Andrew Ainsworth, Kingsley Y. L. Fong, & David R. Gallagher (2008). Style Drift and Portfolio Management for Active Australian Equity Funds. Australian Journal of Management. https://doi.org/10.1177/031289620803200302
Arik Ben Dor, Vernon Budinger, Lev Dynkin, & Kenneth Leech (2008). Constructing Peer Benchmarks for Mutual Funds. The Journal of Portfolio Management. https://doi.org/10.3905/jpm.2008.701618
Nicole M. Boyson (2008). Hedge Fund Performance Persistence: A New Approach. Financial Analysts Journal. https://doi.org/10.2469/faj.v64.n6.6
Jan Annaert, & Geert Van Campenhout (2007). Time Variation in Mutual Fund Style Exposures. European Finance Review. https://doi.org/10.1093/rof/rfm029
Richard W. Sias (2007). Causes and Seasonality of Momentum Profits. Financial Analysts Journal. https://doi.org/10.2469/faj.v63.n2.4521
Juan Carlos Matallín‐Sáez (2006). Seasonality, Market Timing and Performance Amongst Benchmarks and Mutual Fund Evaluation. Journal of Business Finance & Accounting. https://doi.org/10.1111/j.1468-5957.2006.00636.x
Rob Bauer, Jeroen Derwall, & Rogér Otten (2006). The Ethical Mutual Fund Performance Debate: New Evidence from Canada. Journal of Business Ethics. https://doi.org/10.1007/s10551-006-9099-0
Michael J. Cooper, Huseyin Gulen, & P. Raghavendra Rau (2005). Changing Names with Style: Mutual Fund Name Changes and Their Effects on Fund Flows. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2005.00818.x
Rob Bauer, Kees Koedijk, & Rogér Otten (2004). International evidence on ethical mutual fund performance and investment style. Journal of Banking & Finance. https://doi.org/10.1016/j.jbankfin.2004.06.035
Thomas M. Idzorek, & Fred Bertsch (2004). The Style Drift Score. The Journal of Portfolio Management. https://doi.org/10.3905/jpm.2004.443323
J.R. Ter Horst, Theo Nijman, & F.A. de Roon (2003). Evaluating style analysis. Journal of Empirical Finance. https://doi.org/10.1016/j.jempfin.2002.12.003
Peter L. Bernstein (2003). Points of Inflection: Investment Management Tomorrow. Financial Analysts Journal. https://doi.org/10.2469/faj.v59.n4.2541
Unknown Author (2002). On Mutual Fund Investment Styles. Review of Financial Studies. https://doi.org/https://doi.org/10.1093/rfs/15.5.1407
John C. Bogle (2002). An Index Fund Fundamentalist. The Journal of Portfolio Management. https://doi.org/10.3905/jpm.2002.319840
Rogér Otten, Rob Bauer, & Kees C. G. Koedijk (2002). International Evidence on Ethical Mutual Fund Performance and Investment Style. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.297882
Richard M. Ennis (2001). The Case for Whole-Stock Portfolios. The Journal of Portfolio Management. https://doi.org/10.3905/jpm.2001.319798
Gerald W. Buetow, Robert R. Johnson, & David E. Runkle (2000). The Inconsistency of Return–Based Style Analysis. The Journal of Portfolio Management. https://doi.org/10.3905/jpm.2000.319722
Vikas Agarwal, & Narayan Y. Naik (2000). Generalised style analysis of hedge funds. Journal of Asset Management. https://doi.org/10.1057/palgrave.jam.2240007
Unknown Author (1999). Equity Style Timing (corrected). Financial Analysts Journal. https://doi.org/https://doi.org/10.2469/faj.v55.n1.2240
Angelo Lobosco (1999). Style/Risk-Adjusted Performance. The Journal of Portfolio Management. https://doi.org/10.3905/jpm.1999.319709
Unknown Author (1997). Mutual Fund Misclassification: Evidence Based on Style Analysis. Financial Analysts Journal. https://doi.org/https://doi.org/10.2469/faj.v53.n5.2115
Unknown Author (1997). Mutual fund styles. Journal of Financial Economics. https://doi.org/https://doi.org/10.1016/s0304-405x(96)00898-7
T. Daniel Coggin, Frank J. Fabozzi, & Shafiqur Rahman (1993). The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1993.tb04029.x