Regime-Switching Determinants of Mutual Fund Performance in South Africa

This study assesses the effect of fund-level and systemic factors on performance mutual funds in context changing market conditions. A Markov regime-switching model is used to analyze 33 South African equity from 2006 2019. From results, fund flow size exert more predictive influences bearish state than bullish state. Fund age, risk, risk were found be most significant driving active portfolios under time-varying conditions market. These variables influence conditions, emphasizing flight-to-liquidity assets phenomenon risk-aversion behavior contributors during unstable Consequently, managers need maintain adequate asset bases while implementing policies that minimize dispersions returns engender persistence performance. provides novel perspectives how determinants change with as portrayed by adaptive hypothesis (AMH).