This article looks for evidence that mutual funds change their investment strategy or style in an attempt to improve performance. The author examines the investment style ratings that Morningstar assigns to mutual funds, changes in those style ratings over time, and style performance data. He finds evidence that the direction of style drift is biased toward the style with the highest return; the bias is statistically significant; and the bias is consistent over time. The study provides evidence that style drift by mutual funds is intentional, not random, and that portfolio managers actively manage the style drift of their portfolios.

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