Returns-based Style Analysis

Target Date Funds and Returns-Based Style Analysis by Marc Odo CFA, CAIA, CFP

Date: 
Thu, 2010-12-30

In Spring of 2010, Zephyr Associates put forth the idea of using William Sharpe’s returns-based style analysis (RBSA) methodology as a valuable tool for analyzing target date funds.  While spelling out the case for using RBSA from an academic, theoretical perspective, Zephyr clients have since requested guidance in using the idea proposed in a real-world setting to compare the performances of two families of target date funds.   This follow-up paper illustrates how the analyst might use the RBSA ideas to these ends.

The Dangers of Misusing Returns-Based Style Analysis

Date: 
Wed, 2001-01-03

Gerald W. Buetow and Hal Ratner in their recent article, "The Dangers in Using Returns-Based Style Analysis in Asset Allocation," have amply demonstrated the dangers of blaming a poorly understood and poorly used tool. We will analyze the six funds that Buetow and Ratner did, show where they went wrong in their analyses, and demonstrate that returns based style analysis, when done properly, provides accurate results. First we will list B&R's conclusions, then show why, with proper analysis, their conclusions are wrong.

The Mathematics of Returns-Based Style Analysis (Part 1) by Thomas Becker, Ph.D.

Date: 
Thu, 2002-08-08

One of the most frequently asked questions concerning the mathematics of StyleADVISOR is how exactly we calculate the style attribution coefficients which are displayed in the style map view, the asset allocation view, and the style table. The short answer to this question is very easy: We perform the returns-based style analysis that was invented by Stanford professor and Nobel laureate William F. Sharpe. In this article, I will explain the mathematics of Sharpe's algorithm.

The Mathematics of Returns-Based Style Analysis (Part 2) by Thomas Becker, Ph.D.

Date: 
Tue, 2003-03-25

One of the most frequently asked questions concerning the mathematics of StyleADVISOR is how exactly we calculate the style attribution coefficients which are displayed in the style map view, the asset allocation view, and the style table. The short answer to this question is very easy: We perform the returns-based style analysis that was invented by Stanford professor and Nobel laureate William F. Sharpe. In this article, I will explain the mathematics of Sharpe's algorithm.

 
 

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