1887

n Studies in Economics and Econometrics - Verifying return-based style analysis using composition-based factor returns

Volume 25, Issue 2
  • ISSN : 0379-6205

Abstract

There are strong arguments for both the composition-based and returns-based approach to style analysis. Several studies have used these techniques for the purpose of identifying unit trusts that are misclassified in terms of their category. By expanding on a well-established technique, this study investigates whether substituting composition-based style factor returns in a returns-based style analysis framework is able to support the findings of the returns-based style analysis. While both techniques of style analysis are capable of identifying misclassified funds they only give partially consistent results. The technique prevents a fund from being reclassified in terms of a returns-based style analysis if such a reclassification is not supported by a composition-based style analysis.

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/content/bersee/25/2/EJC21778
2001-01-01
2019-08-24

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