Factor Analysis of Portfolio Styles

Peter O. Dietz, H. Russell Fogler and Madelyn Smith
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Peter O. Dietz: Frank Russell Company, P.O. Box 1616, Tacoma, Washington 98401
H. Russell Fogler: Department of Management and Administrative Sciences, College of Business, University of Florida, Gainesville, Florida 32611
Madelyn Smith: Frank Russell Company, P.O. Box 1616, Tacoma, Washington 98401

Interfaces, 1985, vol. 15, issue 2, 50-62

Abstract: Frank Russell Company finds that managers can be grouped into several investment style categories and uses a qualitative approach to categorize them. Factor analysis and cluster analysis can be applied to this problem. An analysis of quarterly mutual fund returns from July 1970 through December 1978 shows that return data groups itself according to manager investment styles. While there were some differences between the style groups developed by looking only at rate of return data using these quantitative techniques and using company qualitative analysts, the differences were surprisingly small.

Keywords: financial institutions: investment; statistics: factor analysis (search for similar items in EconPapers)
Date: 1985
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