Mutual fund styles

Stephen J Brown, William N Goetzmann

Research output: Contribution to journalArticleResearchpeer-review

172 Citations (Scopus)

Abstract

Mutual funds are typically grouped by their investment objectives or the 'style' of their managers. We propose a new empirical to the determination of manager 'style.' This approach is simple to apply, yet it captures nonlinear patterns of returns that result from virtually all active portfolio management styles. Our classifications are superior to common industry classifications in predicting cross-sectional future performance, as well as past performance, and they also outperform classifications based on risk measures and analogue portfolios. Interestingly, 'growth' funds typically break down into several categories that differ in composition and strategy.
Original languageEnglish
Pages (from-to)373-399
JournalJournal of Financial Economics
Volume43
Issue number3
Publication statusPublished - Mar 1997
Externally publishedYes

Cite this