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Research Details
Understanding Mutual Funds and Hedge Funds Styles Using Return-Based Style Analysis, Journal of Investment Management
Abstract
We illustrate the use of return-based style analysis in practice using several examples. We demonstrate the importance of selecting the right style benchmarks and how the use of inappropriate style benchmarks may lead to wrong conclusions. We show how asset turnover and style graphs over time can be used to ensure right inference about the effective style of a fund, and how to extend return-based style analysis to analyze hedge fund styles. In the examples we consider, return-based style analysis provides insights not available through commonly used peer evaluation alone.
Type
Article
Author(s)
ArikBen Dor, Ravi Jagannathan, Iwan Meier
Date Published
2003
Citations
Dor, ArikBen, Ravi Jagannathan, and Iwan Meier. 2003. Understanding Mutual Funds and Hedge Funds Styles Using Return-Based Style Analysis. Journal of Investment Management.(1): 97-137.