Mutual Fund Styles

55 Pages Posted: 11 Nov 2008

See all articles by Stephen J. Brown

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
44 West 4th Street
New York, NY 10012-1126
United States
212-998-0306 (Phone)
212-995-4233 (Fax)

William N. Goetzmann

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

165 Whitney Ave.
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-5950 (Phone)
203-436-9252 (Fax)

HOME PAGE: http://viking.som.yale.edu

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
563
Abstract Views
35,316
Rank
98,272
PlumX Metrics