Mutual Fund Styles

Posted: 10 Oct 1998

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)

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In this paper, we find that existing classifications do a poor job at forecasting differences in future performance. We propose a different method for grouping mutual funds which is relatively impervious to strategic "gaming" of benchmarks. In particular, it captures active portfolio management strategies, rather than relying upon the fund composition observed at specific points in time. As a result of our classification, we find that equity fund managers broadly fall into some familiar and not-so-familiarpatterns of behavior. The familiar patterns include "Small-Cap", "Growth", "Growth and Income", "Income" and "International" styles. The unfamiliar styles resemble "Timers," "Value" and "Glamour" managers. This new categorization does a superior job at forecasting future differences in mutual fund performance, and reveals something about the aggregate behavior of mutual fund managers as well. In addition, we find some preliminary evidence that funds which changed their self-reported classification improved their position relative to their new benchmark.

JEL Classification: G1

Suggested Citation

Brown, Stephen J. and Goetzmann, William N., Mutual Fund Styles. Yale School of Managment Working Paper No. F-46, Available at SSRN:

Stephen J. Brown

New York University - Stern School of Business ( email )

Stern School of Business
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New York, NY 10012-1126
United States
212-998-0306 (Phone)
212-995-4233 (Fax)

William N. Goetzmann (Contact Author)

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)


National Bureau of Economic Research (NBER)

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Cambridge, MA 02138
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