On Mutual Fund Investment Styles
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Daniel et al. (1997) further refine style-based performance mea-
sures by examining the actual holdings of mutual funds, and measuring
the characteristics of the stocks held by the fund. The characteristics
include the market capitalization or size, a measure of value (the ratio
of book value to market value), and the return over the previous year.
For a given fund, the OE portfolio is formed by matching the char-
acteristics of the portfolio held by the fund with “passive” portfolios
constructed to have the same characteristics....
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On Mutual Fund Investment Styles
Nội dung trích xuất từ tài liệu:
On Mutual Fund Investment Styles
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