Measuring fund style,performance and activity: a new style‐profiling approach |
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| Authors: | Daniel Buncic Jon E Eggins Robert J Hill |
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| Institution: | 1. Institute of Mathematics & Statistics, University of St. Gallen, St. Gallen, Switzerland;2. Russell Investment Group, Tacoma, WA, USA;3. Department of Economics, University of Graz, Graz, Austria |
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| Abstract: | 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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| Keywords: | Characteristic‐matched benchmark Fund activity Investment performance Investment style Portfolio management |
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