EconPapers    
Economics at your fingertips  
 

The mixed vs the integrated approach to style investing: Much ado about nothing?

Markus Leippold and Roger Rueegg

European Financial Management, 2018, vol. 24, issue 5, 829-855

Abstract: We study the difference between the returns to the integrated approach to style investing and those to the mixed approach. Unlike the mixed approach, the integrated approach aggregates factor characteristics at security level. Recent literature finds that the integrated approach dominates the mixed approach. Using statistical tools for robust performance testing, we demystify these findings as a statistical fluke. We do not find any evidence favouring the integrated approach. What we do find is that the integrated approach exhibits a higher sensitivity to the low‐risk anomaly. However, this reduction in risk does not lead to an improvement in performance.

Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1111/eufm.12139

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:eufman:v:24:y:2018:i:5:p:829-855

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1354-7798

Access Statistics for this article

European Financial Management is currently edited by John Doukas

More articles in European Financial Management from European Financial Management Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2019-02-23
Handle: RePEc:bla:eufman:v:24:y:2018:i:5:p:829-855