This study develops a style rotation model based on quarterly forecasts of style factor returns, across four style categories, generated using market and macroeconomic data. The prescriptions from this model are tested on a sample of U.S. active equity mutual funds' portfolio holdings. An annual...

This study develops a style rotation model based on quarterly forecasts of style factor (SF) returns, across four style categories, generated using market and macroeconomic data. The prescriptions from this model are tested on a sample of US active equity mutual funds' portfolio holdings. An...

This study investigates how the quality of stocks owned by mutual funds affects the performance of those funds during 2000-2009. The quality of a stock is positively related to its size, while quality is inversely related to volatility. Evidently, stocks in the lowest quality decile perform...

We examine potential sources of measurement error when evaluating the after-tax performance of fund managers based on periodic snapshots of their holdings alone, compared to when daily transactions data are also available. To do this, we compare portfolio return estimates based on imputed trades...

We investigate the existence and sources of performance persistence for Australian equity funds, using monthly portfolio holdings data. We find significant persistence among outperforming rather than underperforming funds, which is primarily related to security selection skill, and is associated...