Cumulative Fundamental Return of Average Active Managers and Style Indices

2019 ◽  
Author(s):  
Aki Lappalainen
Keyword(s):  
Style Indices

Style Analysis and Its Application of Domestic Mutual Funds

2011 ◽  
Vol 19 (1) ◽  
pp. 91-120
Author(s):  
Bong Chan Kho ◽  
Uk Chang ◽  
Youngsoo Choi
Keyword(s):  
Fund Performance ◽  
Style Analysis ◽  
Tracking Errors ◽  
Short Sale ◽  
Index Model ◽  
Market Index ◽  
Out Of Sample ◽  
Style Indices ◽  
Domestic Stock ◽  
Better Than

We illustrate empirically the use of return-based style analysis for domestic stock funds. We search the optimal style model according to the tracking errors, investigate the consistency of the fund style for the optimally selected model, and finally investigate the relationship between fund styles and their fund performance. We use weekly fund return data of domestic stock funds from January 2, 2002 to June 30, 2008, and do style analyses based on the various style indices. The major findings are as follows. Firstly, we find that the style index models with constraint which in practice restricts short sale are better than those with no such constraint. Secondly, we find that the style index model which divides stock market with four categorized indices based on the dimension of size and book-to market and includes the bond market index is the most useful if they are evaluated based on the out-of-sample tracking errors. While adding the Fama-French 3 factors to the selected model does not improve the explanation power, adding the industry sector indexes improves the explanation power. Thirdly, we investigate the consistency of the fund style models and find that the better performing funds are more volatile in the change of the fund style. Fourthly, we find that, contrary to the expectation that the growth-oriented funds perform better than the value-oriented one, the fund performance and style are observed to be mixed. This finding shows that the fund styles are frequently changed according to their performances and market conditions.

Distinguishing 'To' and 'Through' with Target Date Style Indices

2012 ◽  
Author(s):  
Peter Tsui K Tsui ◽  
Frank Luo ◽  
Philip Murphy
Keyword(s):  
Target Date ◽  
Style Indices

Constructing Fama–French Factors from Style Indices: Evidence from the Islamic Equity Market

2017 ◽  
Vol 53 (7) ◽  
pp. 1563-1572 ◽  
Author(s):  
Shahrin Saaid Shaharuddin ◽  
Wee-Yeap Lau ◽  
Rubi Ahmad
Keyword(s):  
Equity Market ◽  
Style Indices ◽  
Fama French Factors

Relationship between Using Conceptual Comprehension of Academic Material and Thinking Abstractly about Global Life Issues

1990 ◽  
Vol 66 (2) ◽  
pp. 387-390 ◽  
Author(s):  
Alida S. Westman ◽  
Raymond L. Kamoo
Keyword(s):  
Learning Style ◽  
Real Life ◽  
Abstract Thinking ◽  
Deep Processing ◽  
Intelligence Scale ◽  
Elaborative Processing ◽  
Frequent Use ◽  
Life Issues ◽  
Denial Of Death ◽  
Style Indices

The study explored whether more frequent use of conceptual comprehension of academic material generalized to greater use of abstract thinking about global life issues, such as death, goal in life, marriage, AIDS, etc. Undergraduate and graduate students (28 men and 61 women) voluntarily completed a questionnaire which assessed their conceptualizations using three indices. These were an intelligence scale and two learning style indices, namely, Deep Processing and Elaborative Processing of R. R. Schmeck. Also assessed were their levels of abstract thinking about Death Issues and about Other Real Life Issues, and their Denial of Death and their Denial of Dying. All three indices of conceptualization correlated with thinking more abstractly about Other Real Life Issues, but only Elaborative Processing correlated with thinking more abstractly about Death Issues. None of the three indices correlated with Denial of Death or Denial of Dying. It appears conceptualization skills were selectively generalized.

scholarly journals Hedge Funds: Do They Do What They Say They Do?

2010 ◽  
Vol 8 (10) ◽  
Author(s):  
Scott P. Mackey ◽  
Michael R. Melton
Keyword(s):  
Hedge Funds ◽  
Hedge Fund ◽  
Strongly Correlated ◽  
Ample Evidence ◽  
Investment Style ◽  
Funds Of Hedge Funds ◽  
Standard Linear ◽  
Style Indices ◽  
Fund Investment ◽  
Hedge Fund Returns

<p class="MsoNoSpacing" style="text-align: justify; margin: 0in 0.5in 0pt; mso-pagination: none;"><span style="color: black; font-size: 10pt; mso-themecolor: text1;"><span style="font-family: Times New Roman;">The purpose of this research is two-fold, to determine if hedge funds follow their stated strategy styles and to examine how hedge funds&rsquo; strategy allocations evolve over time in response to changed economic and market conditions.<span style="mso-spacerun: yes;">&nbsp; </span>Our key advance is that we show that standard linear style models like that of Sharpe (1992) can be applied to hedge fund returns as long as the returns of the style indices in the model themselves display the nonlinear option-like characteristics of hedge fund returns.<span style="mso-spacerun: yes;">&nbsp; </span>For our research, the returns of our sample of Funds of Hedge Funds are strongly correlated to the returns of portfolios of hedge fund investment style indices. <span style="mso-spacerun: yes;">&nbsp;</span>In this way, we capture the spirit of Fung &amp; Hsieh's (2002) Asset-Based Style Factors for Hedge Funds.<span style="mso-spacerun: yes;">&nbsp; </span>Based on our results, it appears that the answer to the first question is &ldquo;somewhat&rdquo;, while we find ample evidence of significant shifts in allocation among the Fund of Hedge Funds from the first sample period (1997-2001) to the second (2002-2006).<span style="mso-spacerun: yes;">&nbsp; </span>The changes in allocation appear to rationally reflect the changed economic conditions and investment opportunities existing at the time.</span></span></p>

Sign in / Sign up

Export Citation Format

Share Document