Using a replicating portfolio method to capture the long-term risk loadings of Australian active institutional funds, we investigate patterns in how actual disclosed fund returns diverge from those anticipated by their factor loadings. We find that Australian funds’ returns generate positive alpha, are tilted slightly towards big stocks, and tend to be convex to their respective benchmarks. This suggests that funds deviate away from their long-term factor loadings when their loadings are performing particularly well or particularly poorly. This pattern of returns is consistent with fund managers responding to their incentives of preserving capital relative to the market during downturns while maximising performance during market growth phases. In comparison, US mutual funds load on small stocks and do not generate alpha after size and value factors are controlled for. Furthermore, they tend to be concave to their respective replicating portfolios. Our research highlights the unique nature of Australian fund managers in timing market factors to generate excess returns.