Style Investing: Evidence from Mutual Fund Flows

38 Pages Posted: 30 Jun 2004

Date Written: March 19, 2004

Abstract

I investigate the impact of returns on broad styles, such as growth funds, on mutual fund flows. I test whether mutual fund investors pursue styles, as predicted by the style investing hypothesis of Barberis and Shleifer (2003). Although in the aggregate, style-level flows to style categories are positively (negatively) related to past returns on the given category (other categories), at the individual fund level this pattern disappears. In fact, after controlling for fund returns, flows are negatively related to style performance. Such patterns persist for three different style classifications I consider here. The findings go against the hypothesis of style investing, and are consistent with within-style return chasing and evaluating fund managers based on both fund-level and style-level returns.

Suggested Citation

Pomorski, Lukasz, Style Investing: Evidence from Mutual Fund Flows (March 19, 2004). EFA 2004 Maastricht Meetings Paper No. 1163. Available at SSRN: https://ssrn.com/abstract=559405 or http://dx.doi.org/10.2139/ssrn.559405

Lukasz Pomorski (Contact Author)

AQR Capital Management, LLC ( email )

Greenwich, CT
United States

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