Measuring fund style, performance and activity: a new style-profiling approach

被引：3

作者：

Buncic, Daniel ^{[1
]}

Eggins, Jon E. ^{[2
]}

Hill, Robert J. ^{[3
]}

机构：

[1] Univ St Gallen, Inst Math & Stat, St Gallen, Switzerland

[2] Russell Investment Grp, Tacoma, WA USA

[3] Graz Univ, Dept Econ, Graz, Austria

来源：

ACCOUNTING AND FINANCE | 2015年 / 55卷 / 01期

基金：

澳大利亚研究理事会;

关键词：

Characteristic-matched benchmark; Fund activity; Investment performance; Investment style; Portfolio management; PERSISTENCE; MANAGEMENT; COSTS;

D O I：

10.1111/acfi.12047

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We construct new measures of fund style, performance and activity from linear combinations of off-the-shelf stock-market indices. A fund's benchmark portfolio is a linear combination of two or more reference portfolios that in a least-squares sense most closely approximates the fund's portfolio. The resulting linear combination scalar is itself a measure of fund style and the distance between a fund and its benchmark is a measure of fund activity. Our approach has a number of advantages over existing characteristic-matching methods. We illustrate our approach using a data set of US institutional funds.

引用

页码：29 / 55

页数：27

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