Complementary or Contradictory? Combining Returns Based & Characteristics Based Investment Style Analysis
43 Pages Posted: 21 Jun 2011 Last revised: 4 Aug 2011
Date Written: May 21, 2011
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 style analysis complementary. Out of sample tests confirmed two things; membership of style groups explain a significant degree of cross sectional performance of mutual funds and secondly the cumulative effect of combining BFI 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.
Keywords: Investment Style, Mutual Funds, Portfolio, Style Analysis
JEL Classification: G10, G11, G14, G20, G23
Suggested Citation: Suggested Citation