Measuring fund style, performance and activity: a new style‐profiling approach | Zendy

Buncic Daniel | Zendy; Eggins Jon E. | Zendy; Hill Robert J. | Zendy

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Measuring fund style, performance and activity: a new style‐profiling approach

Author(s) -

Buncic Daniel,

Eggins Jon E.,

Hill Robert J.

Publication year - 2015

Publication title -

accounting and finance

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.645

H-Index - 49

eISSN - 1467-629X

pISSN - 0810-5391

DOI - 10.1111/acfi.12047

Subject(s) - returns based style analysis , style analysis , mutual fund , computer science , econometrics , portfolio , fund administration , target date fund , open end fund , mathematics , investment fund , economics , finance , institutional investor , asset allocation , corporate governance , market liquidity

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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