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Complementary or Contradictory? Combining Returns Based & Characteristics Based Investment Style Analysis

Mason, A, Thomas, S and McGroarty, F (2011) Complementary or Contradictory? Combining Returns Based & Characteristics Based Investment Style Analysis .

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Abstract

This study is the first to combine returns based (RBS) and characteristics based (CBS) style analysis into a single style analysis model. We address the issue of whether RBS and CBS style analysis complementary. Out of sample tests confirmed two things; membership of style groups explain a significant degree of cross sectional performance of mutual funds and secondly the cumulative effect of combining BFI and CBS analysis significantly improves on the CBS and BFI models in isolation. The ex post explanatory power of the combined model is greater than the individual parts.

Item Type: Other
Authors :
NameEmailORCID
Mason, Aandrew.mason@surrey.ac.ukUNSPECIFIED
Thomas, SUNSPECIFIEDUNSPECIFIED
McGroarty, FUNSPECIFIEDUNSPECIFIED
Date : 25 May 2011
Related URLs :
Depositing User : Symplectic Elements
Date Deposited : 16 May 2017 15:15
Last Modified : 17 May 2017 14:33
URI: http://epubs.surrey.ac.uk/id/eprint/818288

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