Complementary or contradictory: combining returns based and characteristics based investment style analysis
Complementary or contradictory: combining returns based and characteristics based investment style analysis
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.
423–438
Mason, Andrew
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Thomas, Stephen H.
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McGroarty, Frank
693a5396-8e01-4d68-8973-d74184c03072
Mason, Andrew
6e0103d9-267a-456c-9150-256c588a5107
Thomas, Stephen H.
a93cfe4e-b533-48ff-b1c1-2e0d4e3bf448
McGroarty, Frank
693a5396-8e01-4d68-8973-d74184c03072
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, 14 (6), .
(doi:10.1057/jam.2014.4).
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 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.
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Accepted/In Press date: 8 January 2014
e-pub ahead of print date: 21 February 2014
Organisations:
Centre for Digital, Interactive & Data Driven Marketing
Identifiers
Local EPrints ID: 341451
URI: http://eprints.soton.ac.uk/id/eprint/341451
ISSN: 1470-8272
PURE UUID: c3eb74b4-cf98-4089-9536-eef5adeebf50
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Date deposited: 25 Jul 2012 11:38
Last modified: 15 Mar 2024 03:17
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Contributors
Author:
Andrew Mason
Author:
Stephen H. Thomas
Author:
Frank McGroarty
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