We illustrate the use of return-based style analysis in practice using several examples. We
demonstrate the importance of selecting the right style benchmarks and how the use of …

The study reported here empirically examined whether the alphas of hedge funds and those
of long-only portfolios present different distributions and are derived from different risk …

We provide evidence that most results from traditional return-based style analysis are
inconsistent and too dynamic to be used in a meaningful way (see Sharpe [1988, 1992]). We …

Recent research suggests that the individual investor can build stock portfolios that
outperform broad market indices. Based on this research and on evidence supporting the …

For years, investment professionals have used stock factors, such as price-to-book ratio, to
help make stock selection decisions. If a stock factor is associated with ex post risk-adjusted …

Standard sector classification frameworks present drawbacks that might hinder portfolio
managers. This article introduces a new nonparametric approach to equity classification …

In this paper, we place firms in the Morningstar's style box cells and test whether selecting
firms from these cells allows investors to compile a portfolio consistent with their risk …

In this study, we investigate whether individual investors should consider the weightings
mutual fund managers place on the stocks held in their funds when making stock selection …

Asset allocation is concerned with the development of multi--‐asset portfolio strategies that
are likely to meet an investor's objectives based on the interaction of expected returns, risk …

This thesis intends to optimise a portfolio of assets from the Nigerian Stock Exchange (NSE)
using mathematical analysis in the investment theory to model the Nigerian financial market …