Unencumbered by style: Why do funds change factor loadings, and does it help?
研究发现主动型股票基金并非保持固定风格，而是随时间调整因子暴露；这种调整部分源于被动漂移和主动再平衡，并可用于识别经理的战术投资技能，高技能经理在调整后能获得更高收益。
We show that, rather than maintaining a constant style, active equity funds alter their factor loadings over time. Style changes are larger following quarters in which funds either substantially under- or out-perform other funds based on returns or fund flows, which is explained by managers both not correcting the resulting passive style drift and deliberately reallocating a portion of the portfolio. Motivated by this observation, we identify a new measure of manager skill, which we call “tactical investment skill.” It captures a manager’s ex-ante observable ability to increase future returns through loadings changes. We show that high-skill managers outperform their low-skill peers in the following month in terms of raw returns and alphas. This outperformance is more pronounced following quarters with large loadings changes.