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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

Record type: Article

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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More information

Accepted/In Press date: 8 January 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

Catalogue record

Date deposited: 25 Jul 2012 11:38
Last modified: 18 Jul 2017 05:36

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Contributors

Author: Andrew Mason
Author: Stephen H. Thomas
Author: Frank McGroarty

University divisions

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