Equity Style Classifications

Christopherson, Jon A.

doi:10.3905/jpm.1995.409520

Cited by 55 publications

(17 citation statements)

References 1 publication

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“…We believe this to be an overly ambitious conclusion. Christopherson [1995] criticizes this approach primarily on statistical grounds and offers an alternative called a style classification system. Unfortunately, he does not illustrate the effects of his statistical reasoning on actual return-based style analysis.…”

Section: A Perspectivementioning

confidence: 99%

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The Inconsistency of Return–Based Style Analysis

Buetow¹,

Johnson²,

Runkle

2000

JPM

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Section: A Perspectivementioning

confidence: 99%

“…Christopherson [1995] blames return-based style analysis for the inconsistent results. While this may be a valid conclusion, we suggest an alternative interpretation.…”

Section: The Elusive Concept Of Investment Stylementioning

confidence: 99%

The Inconsistency of Return–Based Style Analysis

Buetow¹,

Johnson²,

Runkle

2000

JPM

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“…This is because the returns of a unit trust, p, are expected to equal the risk-free rate plus beta times the market (benchmark) premium, or ( ) is the risk-adjusted excess return to the unit trust p, and ε is the error term. While early studies provided supporting evidence that investment objective classes provide a proxy for risk that is homogenous within each class, more recent research suggests that that may no longer be the case (Christopherson, 1995;Bowen & Statman, 1997 in the United States; Jin & Yang, 2004 in China, as well as Robertson, Firer, & Bradfield, 2000 in South Africa). The test, which we conducted in this study, was to find out whether the unit trusts within a given ASISA equity classification exhibited homogeneous risk characteristics.…”

Section: Unit Trust Investment Objectives and Riskmentioning

confidence: 99%

Are the ASISA Standards with Respect to Unit Trust Classification Representative of Homogeneous Risk Classes?

Kainja¹

2016

JFRM

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We examine the information content of South African (SA) equity unit trusts to investigate whether risk is heterogeneous between investment objective groups and homogeneous within groups because those characteristics are vital to proper investment decision making. We find risk differences within SA equity groups especially in the Equity-General and Equity-Growth. However, in the other categories, the systematic risk differences depended on the choice of benchmark. Those risk differences may have significant implications for investors. Examination of between-group risk revealed that not all the equity categories were heterogeneous. We also find that the choice of benchmark is critical when measuring and comparing performance characteristics of funds.

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“…Christopherson (1995) further disputes the use of correlation analysis for manager classification as historical relationships do not tend to be indicative of future behaviour (also see Lucas & Riepe, 1996:8). Christopherson (1995) Buetow and Rutner (2000). Atkinson et al (n.d.) claim that much of the fundamental data used by Buetow and Rutner (2000) was incorrect.…”

Section: Strengths and Weaknesses Of Return-based Style Analysismentioning

confidence: 99%

Return-based style analysis of domestic targeted absolute and real return unit trust funds in South Africa

Louw¹,

Beer²

2012

COC

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By means of return-based style analysis (RBSA), heterogeneous style sub-categories were identified within the targeted absolute and real return (TARR) category of the South African unit trust market to create a framework for sub-categorisation. The study dealt with TARR funds and their place within the investment universe. The literature review emphasised the importance of asset allocation, which supports the use of RBSA to identify asset allocation and further provided a motivation for the semi-strong form of RBSA applied to the sample data. The findings suggest that in general, return-based style analysis applied to each fund identifies the asset allocation for the fund and is valid and that the collective results of return-based style analysis applied to the funds can be used to create a framework for sub-categorisation

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Equity Style Classifications

Cited by 55 publications

References 1 publication

The Inconsistency of Return–Based Style Analysis

The Inconsistency of Return–Based Style Analysis

Are the ASISA Standards with Respect to Unit Trust Classification Representative of Homogeneous Risk Classes?

Return-based style analysis of domestic targeted absolute and real return unit trust funds in South Africa

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