Characterizing Value and Growth Investing in Institutional Portfolios

25 Pages Posted: 12 Sep 2010

See all articles by Christophe Faugère

Christophe Faugère

Kedge Business School Bordeaux

Hany A. Shawky

State University of New York at Albany - School of Business and Center for Institutional Investment Management

David M. Smith

State University of New York at Albany - School of Business

Date Written: May 1, 2007

Abstract

Using a unique money manager database that allows managers to identify their own investment styles, we examine 4,754 non mutual fund value- and growth-oriented portfolios over the period 1999-2003. Consistent with style definitions, we find that on average, growth funds have price-earnings ratios, price-to-book ratios and earnings growth rates that are twice as large as those for value funds. We find that large and mid-cap value funds hold stocks of companies with significantly higher financial leverage than those held by growth funds. We measure style adherence relative to Russell indexes as well as the funds’ own benchmarks, and find that large cap funds tend to stay closer to their own benchmarks

Keywords: Investment Style, Portfolio Performance Evaluation, Benchmarks.

JEL Classification: G11, G23

Suggested Citation

Faugère, Christophe and Shawky, Hany A. and Smith, David McNeil, Characterizing Value and Growth Investing in Institutional Portfolios (May 1, 2007). Available at SSRN: https://ssrn.com/abstract=1675445 or http://dx.doi.org/10.2139/ssrn.1675445

Christophe Faugère (Contact Author)

Kedge Business School Bordeaux ( email )

680 Cours de la Liberation
Bordeaux, Aquitaine 33405
France

Hany A. Shawky

State University of New York at Albany - School of Business and Center for Institutional Investment Management ( email )

School of Business
1400 Washington Ave.
Albany, NY 12222
United States
518-442-4921 (Phone)
518-442-3944 (Fax)

David McNeil Smith

State University of New York at Albany - School of Business ( email )

1400 Washington Ave.
Albany, NY 12222
United States

HOME PAGE: http://www.albany.edu/ciim

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