{"title":"Measuring Fund Style, Performance and Activity: A New Style‐Profiling Approach","authors":"Daniel Bunčić, Jon Edward Eggins, R. Hill","doi":"10.1111/acfi.12047","DOIUrl":null,"url":null,"abstract":"type=\"main\" xml:id=\"acfi12047-abs-0001\"> We construct new measures of fund style, performance and activity from linear combinations of off-the-shelf stock-market indices. A fund's benchmark portfolio is a linear combination of two or more reference portfolios that in a least-squares sense most closely approximates the fund's portfolio. The resulting linear combination scalar is itself a measure of fund style and the distance between a fund and its benchmark is a measure of fund activity. Our approach has a number of advantages over existing characteristic-matching methods. We illustrate our approach using a data set of US institutional funds.","PeriodicalId":23644,"journal":{"name":"Wiley-Blackwell: Journal of Business Finance & Accounting","volume":"83 11 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2015-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"4","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Wiley-Blackwell: Journal of Business Finance & Accounting","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1111/acfi.12047","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 4
Abstract
type="main" xml:id="acfi12047-abs-0001"> We construct new measures of fund style, performance and activity from linear combinations of off-the-shelf stock-market indices. A fund's benchmark portfolio is a linear combination of two or more reference portfolios that in a least-squares sense most closely approximates the fund's portfolio. The resulting linear combination scalar is itself a measure of fund style and the distance between a fund and its benchmark is a measure of fund activity. Our approach has a number of advantages over existing characteristic-matching methods. We illustrate our approach using a data set of US institutional funds.
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