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Quantitative Equity Portfolio Management by Daehwan Kim, Ludwig B Chincarini

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APPENDIX 15AStyle Analysis

Style analysis is a technique for determining the exposure of a mutual fund, hedge fund, or any equity portfolio to various asset classes. The performance analyst may not know the holdings of a portfolio or the exact types of stocks that its manager tends to buy, but with style analysis, he or she can obtain a pretty clear idea of the portfolio’s exposures. Style analysis is less useful for the portfolio manager or a portfolio management shop and more useful for financial advisors, fund-of-fund managers, and other investors in deciding whether to include a particular portfolio or fund manager in their asset allocations.

Style analysis is a powerful technique that was developed by William Sharpe (1988) to analyze the ...

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