Understanding mutual fund and hedge fund styles using return-based style analysis

Arik Ben Dor, Ravi Jagannathan, Iwan Meier

Research output: Chapter in Book/Report/Conference proceedingChapter

1 Scopus citations

Abstract

We illustrate the use of return-based style analysis in practice using several examples. We demonstrate the importance of selecting the right style benchmarks and how the use of inappropriate style benchmarks may lead to wrong conclusions. For example, when style analysis is applied to sector-oriented funds, the set of benchmarks should include sector or industry indexes. We show how asset turnover and style graphs over time can be used to ensure right inference about the effective style of a fund, and how to extend return-based style analysis to analyze hedge fund styles. In the examples we consider, return-based style analysis provides insights not available through commonly used peer evaluation alone.

Original languageEnglish (US)
Title of host publicationThe World of Hedge Funds
Subtitle of host publicationCharacteristics and Analysis
PublisherWorld Scientific Publishing Co.
Pages63-108
Number of pages46
ISBN (Electronic)9789812569448
ISBN (Print)9812563776, 9789812563774
DOIs
StatePublished - Jan 1 2005

ASJC Scopus subject areas

  • Business, Management and Accounting(all)
  • Economics, Econometrics and Finance(all)

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