Return-based Style Analysis with Time-varying Exposures
Laurens Swinkels ()
Authors registered in the RePEc Author Service: Pieter Jelle van der Sluis
No 125, Computing in Economics and Finance 2001 from Society for Computational Economics
This paper focuses on the estimation of mutual fund styles by return-based style analysis. Usually, the investment style is assumed to be either constant through time, or time variation is implicitly accounted for by using rolling regressions. The former assumption is often contradicted by data analysis, and the latter is inefficient due to its ad hoc chosen window size. We propose to use the Kalman filter to explicitly model time-varying exposures of mutual funds. This leads to a testable model and more efficient use of the data, which reduces the influence of spurious correlation between mutual fund returns and style indices.
Keywords: Kalman Filter; Mutual Funds; Style Analysis (search for similar items in EconPapers)
JEL-codes: C22 C61 G11 G23 (search for similar items in EconPapers)
References: Add references at CitEc
Citations Track citations by RSS feed
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Journal Article: Return-based style analysis with time-varying exposures (2006)
Working Paper: Return-Based Style Analysis with Time-Varying Exposures (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:sce:scecf1:125
Access Statistics for this paper
More papers in Computing in Economics and Finance 2001 from Society for Computational Economics
Contact information at EDIRC.
Series data maintained by Christopher F. Baum ().