Style analysis for diversified US equity funds
Style analysis for diversified US equity funds
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.
170-185
McGroarty, Frank
693a5396-8e01-4d68-8973-d74184c03072
Mason, Andrew
3af84441-6899-4e78-8a3a-95803da96c49
Thomas, Steve
effeb4ca-ca6b-4b21-b399-4f56cecc5d31
1 May 2012
McGroarty, Frank
693a5396-8e01-4d68-8973-d74184c03072
Mason, Andrew
3af84441-6899-4e78-8a3a-95803da96c49
Thomas, Steve
effeb4ca-ca6b-4b21-b399-4f56cecc5d31
McGroarty, Frank, Mason, Andrew and Thomas, Steve
(2012)
Style analysis for diversified US equity funds.
Journal of Asset Management, 13, .
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.
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Published date: 1 May 2012
Organisations:
Centre for Digital, Interactive & Data Driven Marketing
Identifiers
Local EPrints ID: 301108
URI: http://eprints.soton.ac.uk/id/eprint/301108
ISSN: 1470-8272
PURE UUID: c16efbf0-1187-4a48-9cff-6ae48791882c
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Date deposited: 02 Mar 2012 16:20
Last modified: 08 Jan 2022 02:58
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Contributors
Author:
Frank McGroarty
Author:
Andrew Mason
Author:
Steve Thomas
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