TY  - JOUR
AU  - Dor,Arik Ben
AU  - Jagannathan,Ravi
TI  - Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 9111
PY  - 2002
Y2  - August 2002
UR  - http://www.nber.org/papers/w9111
L1  - http://www.nber.org/papers/w9111.pdf
N1  - Author contact info:
Ravi Jagannathan
Kellogg Graduate School of Management
Northwestern University
2001 Sheridan Road
Leverone/Anderson Complex
Evanston, IL 60208-2001
Tel: 847/491-8338
Fax: 847/491-5719
E-Mail: rjaganna@northwestern.edu
AB  - 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.
ER  -