Style Analysis for Diversified US Equity Funds

Mason, A, McGroarty, FJ and Thomas, SH (2012) Style Analysis for Diversified US Equity Funds The Journal of Asset Management, 13 (3). 170 - 185. ISSN 1470-8272

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Abstract

In this study we consider two methods of returns based style analysis for classification of investment styles for a single asset class, US Diversified Equity Funds. We extend Sharpe’s (1992) style Returns Based Style Analysis (RBSA) by forming style groups using cluster analysis and RBSA factors. We also introduce a parsimonious Best Fit Index (BFI) of style classification which explicitly acknowledges the existence of market segmentation and practitioner benchmarking. The methods provide complementary information about mutual fund returns. Both methodologies explain a significant proportion of the cross section of out of sample returns, but the BFI method performs better out-of-sample is more transparent and more closely aligned to investment practice.

Item Type:	Article
Additional Information:	This is a post-peer-review, pre-copyedit version of an article published in The Journal of Asset Management. The definitive publisher-authenticated version [The Journal of Asset Management v.13 (3), June 2012] is available online at http://dx.doi.org/10.1057/jam.2012.6.
Uncontrolled Keywords:	Style; Investment; Benchmark; Portfolio; Value; Factors
Divisions:	Faculty of Business, Economics and Law > Surrey Business School
Depositing User:	Symplectic Elements
Date Deposited:	05 Oct 2012 11:05
Last Modified:	07 Jan 2014 18:25
URI:	http://epubs.surrey.ac.uk/id/eprint/714247

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