Construct · 1 fields · 1 citations

returns-based style analysis: a standalone construct

One name. One construct. A landmark on the map.

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returns-basedstyle analysis1 CONSTRUCTReturns-based styleSHARPE · FINANCE

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Finance

method that infers a fund's effective asset class exposures by regressing its returns on asset class index returns under weight constraints.

In finance, returns-based style analysis refers to method that infers a fund's effective asset class exposures by regressing its returns on asset class index returns under weight constraints. This meaning comes from Sharpe (1992) in The Journal of Portfolio Management.[1]

Unit
Recovery means
Measured by

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Nearby constructs

asset2 fields · 2 citationsjingle · one word, two constructsclass3 fields · 3 citationsjingle · one word, three constructsindex5 fields · 11 citationsjingle · one word, five constructs

References

  1. Sharpe, W. F. (1992). Asset allocation: Management style and performance measurement. The Journal of Portfolio Management, 18(2), 7-19. https://doi.org/10.3905/jpm.1992.409394

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