Style Dispersion and Mutual Fund Performance∗
نویسندگان
چکیده
We estimate investment style dispersions for individual actively managed equity mutual funds, which describe how widely fund investments are distributed around the core fund style along the dimensions of size, book-to-market, and momentum, respectively. We find that high style dispersions, especially that along the size dimension, are associated with superior fund performance, consistent with high-ability fund managers taking advantage of opportunities to invest outside the core size style. We also find that the superior fund performance is related to the distance of deviation, not the mere fact of deviation, from the core size style. We conclude that investment style dispersions are an important fund characteristics indicating fund manager investment ability and fund performance. JEL Classification: G11; G23
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