In this article, we introduce a new return-based measure of active portfolio management, i.e. country-shifting activity, which determines changes in the country exposures of funds. We relate country-shifting activity to the popular activity measure “tracking error” and compare the abilities...

This study applies an innovative return-based approach to determine the style-shifting activity of mutual funds. Based on daily returns, we measure style-shifting activity as inter-quarterly changes in the style exposures of a fund. In order to test the robustness of style-shifting activity we...

This study introduces an innovative approach to measuring the “style-shifting activity” (SSA) of mutual funds using daily returns. Applying our new measure to a comprehensive sample of 2631 active US equity mutual funds, we show (i) that SSA predicts future performance, especially for...