Chulalongkorn University Theses and Dissertations (Chula ETD)

Other Title (Parallel Title in Other Language of ETD)


Year (A.D.)


Document Type

Independent Study

First Advisor

Narapong Srivisal


Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)

Department (if any)

Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)

Degree Name

Master of Science

Degree Level

Master's Degree

Degree Discipline





Active equity mutual funds have become a widely popular investment for investors with high risk tolerance due to potentially getting a higher return with the benefit of diversification and professional management. Investors can make decision on selecting funds by looking at “style”. Style is viewed in two dimensions; size and value-growth orientation at stock level. It helps investors to see how fund manager select stocks and the overall style of stock holding for a whole portfolio. Investors can take this factor into considerations to build portfolio to align with their strategy. But what will happen if the style is changed after purchasing. The interesting question is whether style drift create value for investor. This study illustrates the existence of investment style drift in active equity mutual funds in Thailand by applying style volatility measurement based on the nine-style of Morningstar’s Style Box. The findings provide evidence of the determinants that drive a shift in investment style and the consequences of the style drift on the consistency of risk-adjusted performance. The more intense of style drift tends to happen in fund with higher fund flow, small size, short establishment, mid/small-cap, and/or managed by AMCs under niche banks or non-banks. However, style volatility has a negative relation with risk-adjusted performance in term of Sharpe ratio. Funds with high style drift tends to perform worse than funds with consistent strategy. While funds with the shifting style box over the quarters tends to generate a superior return on actual basis but the return do not persist on risk-adjusted basis over quarter. Investors should be aware of investment style drifting as it affects to risk-adjusted return. It is possible that investor would be exposed to unexpected volatility of return and could not be compensated by a higher return. Investors can expect that fund with a higher fund flow, small size and shorter duration of establishment might have high volatility in changing investment style, leading to getting an inferior risk-adjusted performance. Even outcomes of change style over quarter would drive a superior return on actual basis, it is not worth investing in when trading off with risk.



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