Complementary or contradictory: combining returns based and characteristics based investment style analysis
Mason, Andrew, Thomas, Stephen H. and McGroarty, Frank (2014) Complementary or contradictory: combining returns based and characteristics based investment style analysis. Journal of Asset Management (In Press).
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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 are 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 (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. The model provides a useful tool for asset managers to identify their true competitors and wealth managers and advisors to perform due diligence.
|Subjects:||H Social Sciences > HG Finance|
|Divisions:||Faculty of Business and Law > Southampton Business School > Centre for Digital, Interactive & Data Driven Marketing
|Date Deposited:||25 Jul 2012 11:38|
|Last Modified:||27 Mar 2014 20:24|
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
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