Style Analysis
Beyond The Style Box: Unconstrained Returns Based Style Analysis
One question we get at Zephyr is, “Is it possible for a manager to fall ‘outside the style box’? "Shouldn’t a high-momentum growth manager or a deep value manager fall beyond the corner indices?” The answer is yes, there is a way you can have managers plot outside the box.
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Style Analysis
StyleADVISOR implements returns based style analysis as set forth by Stanford professor and Nobel Prize winner William F. Sharpe. Returns based style analysis calculates a Style Benchmark for a manager from the manager’s return series and the return series of the indices that are to be used in the Style Benchmark. Thus, we are given: