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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, pp. 170-185.

Record type: Article


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


Local EPrints ID: 301108
ISSN: 1470-8272
PURE UUID: c16efbf0-1187-4a48-9cff-6ae48791882c

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Date deposited: 02 Mar 2012 16:20
Last modified: 18 Jul 2017 06:14

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Author: Frank McGroarty
Author: Andrew Mason
Author: Steve Thomas

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