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http://hdl.handle.net/11718/12889| Title: | Mutual funds style analysis |
| Authors: | Vaidyanathan, K. Yadav, Sunil |
| Keywords: | Analysis of Funds;Investments - Global Markets;Style Analysis;Mutual Funds;Style Investing |
| Issue Date: | 2001 |
| Publisher: | Indian Institute of Management Ahmedabad |
| Series/Report no.: | SP;843 |
| Description: | Executive Summary Style Analysis is a technique developed by Prof. William Sharpe, Stanford University, to analyses the investment patterns of mutual funds and to make performance forecast of the funds. It is helpful in extracting the ‘knowledge‘ of fund managers and can be used to diagnose which countries or sectors the fund managers are bullish or bearish about. It can be used to calculate the portfolio selection skill of fund managers. Style analysis is a quadratic programming technique in which the fund returns are mapped to the returns of asset classes to arrive at the asset allocation weights of the funds. The underlying concept is to explain the variation in fund returns using the variation in the returns of the asset classes (the asset class returns can be composite indexes of sectors or countries). This project explores the issues involved in style analysis and suggests solutions to the problems. The methodology of the project is discussed. A style analysis calculator has been developed in Visual Basic and in Malta. The macro of the calculation is attached along with the report. This workbook does style analysis of seventy mutual funds in South East Asia and calculates the time series of the asset allocation weights and important statistics for the different sectors returns. |
| URI: | http://hdl.handle.net/11718/12889 |
| Appears in Collections: | Student Projects |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| SP 2001_843.pdf Restricted Access | 4.55 MB | Adobe PDF | View/Open Request a copy |
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