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Complementary or Contradictory? Combining returns-based and characteristics-based investment style analysis.

Mason, A, McGroarty, F and Thomas, S (2014) Complementary or Contradictory? Combining returns-based and characteristics-based investment style analysis. The Journal of Asset Management, 14 (6), 8. pp. 423-438.

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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 analysis are complementary. Out-of-sample tests confirmed two things: membership of style groups explains a significant degree of cross-sectional performance of mutual funds, and the cumulative effect of combining BFI (Best Fit Index) 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: Article
Authors :
NameEmailORCID
Mason, Aandrew.mason@surrey.ac.ukUNSPECIFIED
McGroarty, FUNSPECIFIEDUNSPECIFIED
Thomas, SUNSPECIFIEDUNSPECIFIED
Date : 21 February 2014
Identification Number : 10.1057/jam.2014.4.
Uncontrolled Keywords : Rate of Return, Investment Analysis, Mutual Funds, Benchmarking (Management), Portfolio Management (Investments)
Depositing User : Symplectic Elements
Date Deposited : 16 May 2017 15:31
Last Modified : 17 May 2017 14:36
URI: http://epubs.surrey.ac.uk/id/eprint/820188

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