Take Action

Home | Faculty & Research Overview | Research

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(1): 97-137.

KELLOGG INSIGHT

Explore leading research and ideas

Find articles, podcast episodes, and videos that spark ideas in lifelong learners, and inspire those looking to advance in their careers.
learn more

COURSE CATALOG

Review Courses & Schedules

Access information about specific courses and their schedules by viewing the interactive course scheduler tool.
LEARN MORE

DEGREE PROGRAMS

Discover the path to your goals

Whether you choose our Full-Time, Part-Time or Executive MBA program, you’ll enjoy the same unparalleled education, exceptional faculty and distinctive culture.
learn more

Take Action