Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis / Arik Ben Dor, Ravi Jagannathan.

Format:

Book

Author/Creator:

Ben Dor, Arik.

Contributor:

National Bureau of Economic Research.

Jagannathan, Ravi.

Series:

Working Paper Series (National Bureau of Economic Research) no. w9111.

NBER working paper series no. w9111

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2002.

Summary:

We provide an introduction to the use of return based style analysis of Sharpe (1992) in practice. We demonstrate the importance of selecting the right style benchmarks and how the use of inappropriate style benchmarks may lead to wrong conclusions. When style analysis is applied to sector oriented funds such as healthcare, precious metals, energy, technology, etc., the set of benchmarks should include sector or industry indexes. Following Glosten and Jagannathan (1994), Fung and Hsieh (2001), and Agarwal and Naik (2001), we show how to analyze the investment style of hedge fund managers by including the returns on selected option based strategies as style benchmarks. In the examples we consider, return based style analysis provides insights not available through commonly used 'peer' evaluation alone.

Notes:

Print version record

August 2002.