We investigated the relationship between a mutual fund’s variation in factor exposures and its future performance. Using a dynamic state-space version of the Carhart (1997) four-factor model to capture factor variations, we found that funds with volatile factor exposures underperform funds with stable factor exposures by 147 bps a year. This underperformance is explained neither by volatile factor loadings of a fund’s equity holdings nor by a fund’s forced trading through investor flows. We conclude that fund managers voluntarily attempt to time factors but are unsuccessful at doing so. Disclosure: The authors report no conflicts of interest. Editor’s Note Submitted 13 February 2020 Accepted 5 August 2020 by Stephen J. Brown

中文翻译：

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因子敞口变化和共同基金表现

我们调查了共同基金的因子敞口变化与其未来表现之间的关系。使用 Carhart (1997) 四因子模型的动态状态空间版本来捕捉因子变化，我们发现具有波动性因子敞口的基金的表现比具有稳定因子敞口的基金每年低 147 个基点。这种表现不佳的原因既不是基金所持股票的波动性因素负荷也不是基金通过投资者流动进行的强制交易。我们得出的结论是，基金经理自愿尝试对因素进行计时，但未能成功。披露：作者报告没有利益冲突。编者注 2020 年 2 月 13 日提交 斯蒂芬·J·布朗于 2020 年 8 月 5 日接受