Mutual Fund Styles

55 Pages Posted: 11 Nov 2008  

Stephen J. Brown

New York University - Stern School of Business

William N. Goetzmann

Yale School of Management - International Center for Finance; National Bureau of Economic Research (NBER)

Multiple version iconThere are 2 versions of this paper

Date Written: March 1996

Abstract

We propose a new empirical approach to determination of mutual fund styles. This approach is simple to apply, yet it captures nonlinear patterns of returns that result from virtually all active portfolio management styles. We find that the largest equity fund category, â¬SGrowthâ¬? typically breaks down into several styles that differ in composition and strategy. Our classification method identifies fund groupings that are useful predictors of cross-sectional future performance, as well as past behavior. Not only are they superior to common classifications such as â¬SGrowthâ¬? or â¬SIncome,â¬? but they also outperform classifications based upon risk measures and analogue portfolios.

Suggested Citation

Brown, Stephen J. and Goetzmann, William N., Mutual Fund Styles (March 1996). NYU Working Paper No. FIN-94-020. Available at SSRN: https://ssrn.com/abstract=1299388

Stephen J. Brown

New York University - Stern School of Business ( email )

Stern School of Business
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William N. Goetzmann

Yale School of Management - International Center for Finance ( email )

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New Haven, CT 06520-8200
United States
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203-436-9252 (Fax)

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