Complementary or contradictory combining returns-based and characteristics-based investment style analysis

被引：0

作者：

Mason A. ^{[1
]}

McGroarty F. ^{[2
]}

Thomas S. ^{[3
]}

机构：

[1] University of Surrey, University of Southampton

[2] Southampton Management School, University of Southampton

[3] CASS, University of Wales, University of Southampton, Southampton

来源：

Journal of Asset Management | 2013年 / 14卷 / 6期

关键词：

Benchmarking; Mutual funds; Portfolio; Style analysis;

D O I：

10.1057/jam.2014.4

中图分类号：

学科分类号：

摘要：

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 analysis are complementary. Out-of-sample tests confirmed two things: membership of style groups explains a significant degree of cross-sectional performance of mutual funds, and 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.© 2014 Macmillan Publishers Ltd.

引用

页码：423 / 438

页数：15

共 50 条

[1] Gender Differences in Political Knowledge: Distinguishing Characteristics-Based and Returns-Based Differences
Dow, Jay K.
[J]. POLITICAL BEHAVIOR, 2009, 31 (01) : 117 - 136
[2] Gender Differences in Political Knowledge: Distinguishing Characteristics-Based and Returns-Based Differences
Jay K. Dow
[J]. Political Behavior, 2009, 31 : 117 - 136
[3] Returns-Based Style Analysis: An Excel-Based Classroom Exercise
McDermott, John
[J]. JOURNAL OF EDUCATION FOR BUSINESS, 2009, 85 (02) : 107 - 113
[4] Madoff: A Returns-Based Analysis
Schneeweis, Thomas
Szado, Edward
[J]. JOURNAL OF ALTERNATIVE INVESTMENTS, 2010, 12 (04): : 7 - 19
[5] An application of returns-based style analysis to investigating the disappearance of the size premium
Sawicki, Julia
[J]. JOURNAL OF MODELLING IN MANAGEMENT, 2009, 4 (03) : 216 - 234
[6] Estimating Portfolio Style in U.S. Equity Funds: A Comparative Study of Portfolio- Based Fundamental Style Analysis and Returns-Based Style Analysis
Rekenthaler, John
Gambera, Michele
Charlson, Joshua
[J]. JOURNAL OF INVESTING, 2006, 15 (03): : 25 - 33
[7] A returns-based representation of earnings quality
Ecker, Frank
Francis, Jennifer
Kim, Irene
Olsson, Per M.
Schipper, Katherine
[J]. ACCOUNTING REVIEW, 2006, 81 (04): : 749 - 780
[8] Dominance and innovation: a returns-based beliefs approach
Velu, Chander
Iyer, Sriya
Gair, Jonathan R.
[J]. APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2012, 28 (03) : 264 - 281
[9] Empirical Study on Combining Complementary and Contradictory Information in a Fuzzy-based System
Hammell, Robert. J., II
Hanratty, Timothy
Miao, Sheng
[J]. PROCEEDINGS OF 2016 IEEE SYMPOSIUM SERIES ON COMPUTATIONAL INTELLIGENCE (SSCI), 2016,
[10] The Performance of Characteristics-based Indices
Amenc, Noel
Goltz, Felix
Le Sourd, Veronique
[J]. EUROPEAN FINANCIAL MANAGEMENT, 2009, 15 (02) : 241 - 278

← 1 2 3 4 5 →