The Inconsistency of Return–Based Style Analysis

Buetow, Gerald W.; Johnson, Robert R.; Runkle, David E.

doi:10.3905/jpm.2000.319722

Cited by 28 publications

(12 citation statements)

References 10 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Lobosco and DiBartolomeo, 1997;Buetow et al, 2000, andBen Dor et al, 2003) since not all the potential strategic assets are included in the model. Note that, models proposed in Expression 2 are well specifi ed although they are non-exhaustive including only an equity benchmark representative of the investment vocation, a long-term fi xed-income benchmark and a cash index representing the liquidity that these investment portfolios have to hold in order to face the withdraws.…”

Section: Methodsmentioning

confidence: 99%

Evaluating the style portfolio performance of Spanish equity pension plans

Andreu

Sarto

Vicente

2009

Spanish Journal of Finance and Accounting / Revista Española de

View full text Add to dashboard Cite

Evaluación de la rentabilidad basada en el estilo de los planes de pensiones españoles que invierten en aciones ABSTRACT This paper fi rstly examines the strategic asset allocations followed by Spanish equity pension plans from 2001 to 2006. Once the investment style of each portfolio is known, the second aim of the paper is to analyse the performance obtained by these portfolios along with the performance obtained by their investment style to determine the value added by each manager and the suitability of the style chosen. In this sense, the performance evaluation has been conducted by considering different performance measures used in fi nancial literature along with an alternative metric proposed to test the consistency of the different metrics. Finally, the study also addresses some robustness analyses to examine the consequences of imposing the portfolio constraint when non-exhaustive models are used and the effects of some well-known biases such as survivorship and look-ahead bias.KEY WORDS Return-based style analysis; Pension Plans; Performance Measures.RESUMEN En este artículo se analizan las asignaciones estratégicas de los planes de pensiones españoles de renta variable durante el periodo 2001-2006. Una vez conocidos los estilos de gestión de cada cartera, el trabajo se centra en analizar la rentabilidad obtenida por cada plan así como la asociada con las asignaciones estratégicas elegidas, cuyo objetivo es determinar el valor añadido obtenido por los gestores y la idoneidad del estilo elegido. En este sentido, la valoración de la efi ciencia se ha realizado a partir de diferentes medidas recogidas en la literatura fi nanciera así como de una medida alterativa propuesta para medir la congruencia entre los diferentes índices. Finalmente, se llevan a cabo diferentes análisis de robustez para determinar las consecuencias de imponer la restricción de cartera cuando se consideran modelos no exhaustivos así como los efectos del sesgo de supervivencia y del sesgo look-ahead. PALABRAS CLAVE Análisis de estilos basado en rentabilidades; Medidas de rentabilidad; Planes de Pensiones.

show abstract

Section: Methodsmentioning

confidence: 99%

Evaluating the style portfolio performance of Spanish equity pension plans

Andreu

Sarto

Vicente

2009

Spanish Journal of Finance and Accounting / Revista Española de

View full text Add to dashboard Cite

show abstract

“…Table 1 reports sample sizes' mean monthly returns SDs of monthly returns for each fund category. Buetow et al (2000) surmise that inconsistent style analysis results reflect poorly defined style indices. As such, we have carefully selected a wide variety of asset classes and associated representative benchmarks, in the spirit of Faff et al (2005).…”

Section: Datamentioning

confidence: 95%

“…To take account of this drift, prior studies employ a rolling window method. The length of the initial 'time window' varies with some studies using 60 months (Sharpe, 1992;Kahn and Rudd, 1995;Lee, 1997;Dor et al, 2003), and others 36 months (Buetow et al, 2000;Atkinson and Choi, 2001;Papadamou and Siriopoulos, 2004) or 18 months (McGuire et al, 2005). Lucas and Riepe (1996) recommend 36 months as it is 'short enough to capture considerable style movement, but long enough to avoid excessive ''noise'' in the data'.…”

Section: Review Of Returns-based Style Analysismentioning

confidence: 96%

Style analysis and dominant index timing: an application to Australian multi-sector managed funds

Holmes

Faff

Clacher

2010

Applied Financial Economics

View full text Add to dashboard Cite

Using a returns-based style analysis approach, we develop a dominant timing indicator to measure each fund's ability to take advantage of movements in their dominant passive index. We apply this to a sample of Australian multi-sector funds over the period 1990 to 2005. We find evidence that the dominant timing metric presents a more positive picture of fund timing ability in comparison to traditional timing measures; however, the majority of funds are still unable to time their dominant index effectively.

show abstract

“…Selecting a wrong benchmark is one of the most frequent errors in portfolio management (Buetow, Johnson, and Runkle 2000). Benchmarks are reference portfolios that simultaneously describe the diversity of risks taken by the fund during the analyzed period.…”

Section: Benchmark Selectionmentioning

confidence: 99%

Dynamic Hedge Fund Style Analysis With Errors‐in‐variables

Bodson

Coën

Hübner

2010

J of Financial Research

View full text Add to dashboard Cite

We revisit the traditional return-based style analysis in the presence of time-varying exposures and errors-in-variables (EIV). We apply a benchmark selection algorithm using the Kalman filter and compute the estimated EIV of the selected benchmarks. We adjust them by subtracting their EIV from the initial return series to obtain an estimate of the true uncontaminated benchmarks. Finally, we run the Kalman filter on these adjusted regressors. Analyzing EDHEC alternative index styles, we show that this technique improves the factor loadings and allows more precise identification of the return sources of the considered hedge fund strategy. Copyright (c) 2010 The Southern Finance Association and the Southwestern Finance Association.

show abstract

The Inconsistency of Return–Based Style Analysis

Cited by 28 publications

References 10 publications

Evaluating the style portfolio performance of Spanish equity pension plans

Evaluating the style portfolio performance of Spanish equity pension plans

Style analysis and dominant index timing: an application to Australian multi-sector managed funds

Dynamic Hedge Fund Style Analysis With Errors‐in‐variables

Contact Info

Product

Resources

About