Mutual funds are typically grouped by their investment objectives or the 'style'of their
managers. We propose a new empirical to the determination of manager 'style'. This …

This paper presents an empirical examination of the selectivity and market timing
performance of a sample of US equity pension fund managers. Regardless of the choice of …

Systemic lupus erythematosus is a chronic autoimmune disease that affects the kidney in
most patients. Lupus nephritis (LN) is divided into six categories by the International Society …

We illustrate the use of return-based style analysis in practice using several examples. We
demonstrate the importance of selecting the right style benchmarks and how the use of …

The 2 primary approaches currently in use for style identification and classification are: 1. an
evaluation of the manager's investment process and equity portfolio characteristics, and 2 …

Good benchmarks increase the proficiency of performance evaluation, highlighting the
contributions of active managers, and enhance plan sponsors' ability to control risk. Bad …

This paper compares an international two-index model to an International Arbitrage Pricing
Theory (IAPT) two-factor model to evaluate the performance of 37 US-based international …

We provide evidence that most results from traditional return-based style analysis are
inconsistent and too dynamic to be used in a meaningful way (see Sharpe [1988, 1992]). We …

The recent introduction into the Italian mutual fund market of Morningstar performance rating
of private institutions gives rise to the question of what is the relation between this relative …

We examined changes in performance, risk, and investment style for mutual funds that
changed managers during the 1983–91 period. Results show that funds experiencing a …