Mutual fund styles

• 成果类型: Article
• 署名作者: Brown, SJ; Goetzmann, WN
• 署名单位: Yale University; New York University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(96)00898-7
• 发表日期: 1997
• 页码: 373-399
• 关键词: mutual funds; management style; style analysis

摘要

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 approach is simple to apply, yet it captures nonlinear patterns of returns that result from virtually all active portfolio management styles, Our classifications are superior to common industry classifications in predicting cross-sectional future performance, as well as past performance, and they also outperform classifications based on risk measures and analogue portfolios. Interestingly, 'growth' funds typically break down into several categories that differ in composition and strategy.