Do aggressive funds reallocate their portfolios aggressively?

Kevin C. H. Chiang and Xiyu (Thomas) Zhou

Accounting and Finance, 2009, vol. 49, issue 3, pages 481-503

Abstract: This study examines pairs of asset allocation mutual funds that are controlled for all informational attributes, except for the level of risk aversion. Standard mean-variance models of portfolio choice suggest that the percentage rebalancing of common stocks in aggressive funds would be the same as that in conservative funds. However, this study finds the rebalancing of common stocks in aggressive funds to be disproportionally less intense. Copyright (c) The Authors. Journal compilation (c) 2009 AFAANZ.

Date: 2009

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