Asset allocation Management style and performance measurement

An asset-class factor model with 12 asset classes is presented and used to analyze the performance of a set of open-end mutual funds between 1985 and 1989. The return of each asset class is represented by a market capitalization-weighted index of the returns on a large number of securities. Each ind...

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Bibliographic Details
Published inJournal of portfolio management Vol. 18; no. 2; pp. 7 - 19
Main Author Sharpe, William F
Format Journal Article
LanguageEnglish
Published London Pageant Media 01.01.1992
Subjects
Asset allocation
Mathematical models
Mutual funds
Portfolio management
Portfolio performance
Statistical analysis
Studies
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Summary:An asset-class factor model with 12 asset classes is presented and used to analyze the performance of a set of open-end mutual funds between 1985 and 1989. The return of each asset class is represented by a market capitalization-weighted index of the returns on a large number of securities. Each index represents a strategy that could be followed at low cost using an index fund. The composition of each index is specified in sufficient detail by its provider to enable an investor to track returns with little error through a passive investment strategy. The style analysis procedure presented allows the asset-class factor model to be implemented economically. At the very least, it can serve as a valuable supplement to other methods designed to help investors achieve their goals in cost-effective ways.
ISSN:0095-4918
2168-8656
DOI:10.3905/jpm.1992.409394