Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/223419
Authors: 
Ammann, Manuel
Fischer, Sebastian
Weigert, Florian
Year of Publication: 
2020
Series/Report no.: 
CFR Working Paper No. 20-06
Abstract: 
We investigate the relationship between a mutual fund's variation in factor exposures and its future performance. Using a dynamic state space version of Carhart (1997)'s four factor model to capture factor variation, we find that funds with volatile factor exposures underperform funds with stable factor exposures by 147 basis points p.a. This underperformance is neither explained by volatile factor loadings of a fund's equity holdings nor driven by a fund's forced trading through investor flows. We conclude that fund managers voluntarily attempt to time factors, but they are unsuccessful at doing so.
Subjects: 
Mutual Fund
Market Timing
Factor Timing
Factor Exposure
Kalman Filter
Underperformance
JEL: 
G11
G14
G20
G23
Document Type: 
Working Paper

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