Mutual funds are typically grouped by their investment objectives or the 'style'of their
managers. We propose a new empirical to the determination of manager 'style'. This …

Asset-based style factors link returns of hedge fund strategies to observed market prices.
They provide explicit and unambiguous descriptions of hedge fund strategies that reveal the …

Conditional performance evaluation compares a fund's return with the return of a dynamic
strategy that attempts to match the fund's risk exposures. The risk exposures are matched as …

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 …

Style analysis is a form of constrained regression that uses a weighted combination of
market indexes to replicate, as closely as possible, the historical return pattern of an …

The growing concern about the natural environment is getting relevance not only on
institutional investors but also on individual ones. However, these retail investors face some …

The rate of growth of investment in mutual funds has increased dramatically over the past
decade. Many studies have developed models for performance evaluation and have …

We provide evidence that most results from traditional return-based style analysis are
inconsistent and too dynamic to be used in a meaningful way (see Sharpe [1988, 1992]). We …

Using monthly active equity fund portfolio holdings, we examine the magnitude of style drift
and decompose it into active and passive components. We find that while fund style tilts are …

The Vasicek single factor model of portfolio credit loss is generalized to include correlated
stochastic exposures and loss rates. The new model can accommodate any distribution and …