An Empirical study on Mutual fund factor-risk-shifting and its intensity on Indian Equity Mutual funds
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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866908606212866048 |
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| author | Jeyaprakash, Rajesh ADJ Balasubramanian, Senthil Arasu Maddikera, Vijay |
| author_facet | Jeyaprakash, Rajesh ADJ Balasubramanian, Senthil Arasu Maddikera, Vijay |
| contents | Investment style groups investment approaches to predict portfolio return variations. This study examines the relationship between investment style, style consistency, and risk-adjusted returns of Indian equity mutual funds. The methodology involves estimating size and style beta coefficients, identifying breakpoints, analysing investment styles, and assessing risk-shifting intensity. Funds transition across styles over time, reflecting rotation, drift, or strengthening trends. Many Mid Blend funds remain in the same category, while others shift to Large Blend or Mid Value, indicating value-oriented strategies or large-cap exposure. Some funds adopt high-return styles like Small Value and Small Blend, aiming for alpha through small-cap equities. Performance changes following risk structure shifts are analyzed by comparing pre- and post-shift metrics, showing that style adjustments can enhance returns based on market conditions. This study contributes to mutual fund evaluation literature by highlighting the impact of style transitions on returns. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2510_19619 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | An Empirical study on Mutual fund factor-risk-shifting and its intensity on Indian Equity Mutual funds Jeyaprakash, Rajesh ADJ Balasubramanian, Senthil Arasu Maddikera, Vijay General Finance Portfolio Management Investment style groups investment approaches to predict portfolio return variations. This study examines the relationship between investment style, style consistency, and risk-adjusted returns of Indian equity mutual funds. The methodology involves estimating size and style beta coefficients, identifying breakpoints, analysing investment styles, and assessing risk-shifting intensity. Funds transition across styles over time, reflecting rotation, drift, or strengthening trends. Many Mid Blend funds remain in the same category, while others shift to Large Blend or Mid Value, indicating value-oriented strategies or large-cap exposure. Some funds adopt high-return styles like Small Value and Small Blend, aiming for alpha through small-cap equities. Performance changes following risk structure shifts are analyzed by comparing pre- and post-shift metrics, showing that style adjustments can enhance returns based on market conditions. This study contributes to mutual fund evaluation literature by highlighting the impact of style transitions on returns. |
| title | An Empirical study on Mutual fund factor-risk-shifting and its intensity on Indian Equity Mutual funds |
| topic | General Finance Portfolio Management |
| url | https://arxiv.org/abs/2510.19619 |