NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

On Mutual Fund Investment Styles

Louis K.C. Chan, Hsiu-Lang Chen, Josef Lakonishok

NBER Working Paper No. 7215
Issued in July 1999
NBER Program(s):   AP

We provide an exploratory investigation of mutual funds' investment styles. Funds' styles tend to cluster around a broad market benchmark. When funds deviate from the benchmark they are more likely to favor growth stocks with good past performance. There is some consistency in styles, although funds with poor past performance are more likely to change styles. Some evidence suggests that growth funds have better style-adjusted performance than value funds. The results are not sensitive to style identification procedure, but an approach based on fund portfolio characteristics performs better in predicting future fund returns.

download in pdf format
   (445 K)

email paper

This paper is available as PDF (445 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w7215

Published: Louis K. C. Chan & Hsiu-Lang Chen & Josef Lakonishok, 2002. "On Mutual Fund Investment Styles," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 15(5), pages 1407-1437.

Users who downloaded this paper also downloaded these:
Berk and Green w9275 Mutual Fund Flows and Performance in Rational Markets
Dor and Jagannathan w9111 Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis
Lehmann and Modest w1721 Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons
Brown and Goetzmann w8173 Hedge Funds With Style
Frazzini and Lamont w11526 Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us