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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/27214
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| Title: | Mutual Fund Styles |
| Authors: | Brown, Stephen J.
Goetzmann, William N. |
| Issue Date: | 26-Mar-1996 |
| Series/Report no.: | FIN-94-020 |
| Abstract: | We propose a new empirical approach to determination of mutual fund
styles. This approach is simple to apply, yet it captures nonlinear
patterns of returns that result from virtually all active portfolio
management styles. We find that the largest equity fund category,
“Growth” typically breaks down into several styles that
differ in composition and strategy. Our classification method
identifies fund groupings that are useful predictors of cross-sectional
future performance, as well as past behavior. Not only are they superior
to common classifications such as “Growth” or
“Income,” but they also outperform classifications based
upon risk measures and analogue portfolios. |
| URI: | http://hdl.handle.net/2451/27214 |
| Appears in Collections: | Finance Working Papers
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