Style analysis for diversified US equity funds


McGroarty, Frank, Mason, Andrew and Thomas, Steve (2012) Style analysis for diversified US equity funds. Journal of Asset Management, 13, 170-185.

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Description/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
ISSNs: 1470-8272 (print)
1479-179X (electronic)
Subjects: H Social Sciences > HG Finance
Divisions : Faculty of Business and Law > Southampton Business School > Centre for Digital, Interactive & Data Driven Marketing
ePrint ID: 301108
Accepted Date and Publication Date:
Status
1 May 2012Published
Date Deposited: 02 Mar 2012 16:20
Last Modified: 31 Mar 2016 14:23
URI: http://eprints.soton.ac.uk/id/eprint/301108

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