NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Arik Ben Dor

Barclays

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Institutional Affiliation: Barclays

NBER Working Papers and Publications

August 2002Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis
with Ravi Jagannathan: w9111
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' evalu...

Published: Dor, Arik Ben, Ravi Jagannathan, and Iwan Meier. "Understanding Mutual Fund and Hedge Fund Styles Using Return-Based Style Analysis." Journal of Investment Management 1, 1 (1st Quarter 2003): 94-134.

 
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