Articles and News

Style Research Newsletters

Presentations, Research Papers and Publications on Style

Recent research appears to demonstrate a convincing outperformance of equity benchmarks and indices weighted by fundamental factors related to "real" measures of company size, against the more usual constructions based on simple market capitalization weights. This article, covered by both the London Financial Times (Drilling down into the fundamentals - 30 January 2006) and Investments and Pensions Europe (Fundamentalist cause - February 2006), independently corroborates this research in a global context and explores the sources of the impressive history of outperformance. 

Presentation given to The Society of Investment Analysts, Ireland; The Hong Kong Society of Financial Analysts; The Security Analysts Association of Japan; The Singapore Society of Financial Analysts; The Securities Institute of Australia (Sydney & Melbourne); The Italian Society of Investment Professionals, February/May 2005.

Published in Investment Adviser, September 2004

The article, published in a UK journal directed towards business development in the European retail investment sector, describes the current popular methods of Style analysis, highlighting their distinguishing features, and recognizing the importance of each in revealing key characteristics of domestic and international equity funds. Returns-based, Holdings-based and Risk-based Style analysis are becoming more and more relevant in profiling equity funds; and competition among fund providers and distributors is increasing their visibility and popularity in this sector.

Published in Investments & Pensions Europe, June 2003

Style techniques have developed considerably since Bill Sharpe's Returns-Based Style Analysis was first introduced in the early 1990's.  Much as a consequence of the changing needs of worldwide investment professionals, there are now a further three recognized techniques of Style-based portfolio analysis widely available.

This short article reviews how each of these methods emerged and evolved through the decade in response to a growing need for more comprehensive Style analysis features.  Each new technique developed to address anomalous market situations and idiosyncratic patterns of investor behaviour.  And the most recent introduction, Risk-based Style Analysis, addresses the current need to identify specific investor practices that have appeared following the abrupt Style shifts that have occurred subsequent to the market peaks of early 2000.

Published in Investments & Pensions Europe, November 2000.

Tracking error estimates have, over the past 2 years, significantly underestimated the risks of many "structured" equity portfolios.  Much of this is due to the strengthening persistence of the performance patterns of popular Style themes and the impact of this autoregressive, or trending, behaviour on the performance characteristics of portfolios exposed to these Styles.

If the performance of Style-tilted portfolios is measured against Style-based benchmarks (which themselves are tilted towards distinct Styles), much of the systematic underestimation of tracking error risk is eliminated and ex ante tracking errors become closer to the realized ex post measurements.  This itself is a very strong argument for the introduction and adoption of Style-based investment benchmarks for Style-based investment portfolios.

Published in the Journal of Asset Management, July 2000.
Study Paper for the AIMR First Annual Global Investors' Workshop, July 2001, Cambridge, England.

Style concepts and Style practices are currently becoming popular within the UK as well as across Europe and the Eurozone. Yet, within these markets, the relevance and usefulness of Style techniques have yet to be demonstrated. The paper reviews the generic range of Style techniques available to practitioners and describes the various, basically commercial, reasons for their recent surge in popularity. In an effort to support current practices (or to put them in doubt), the paper proceeds to develop a general framework, and a set of criteria, for determining the validity of these Style practices within a working environment. This leads to the formulation of a practical definition of what it means to suggest that Style exists within a market.

Based on this definition and formal framework, the paper examines and generally supports the relevance of Style practices across the Eurozone and within a number of major European markets. Style-based techniques are also adapted to consider the "Market Allocation vs. Sector Allocation" question that is currently confronting many top-down Eurozone equity managers.

Published in Investments & Pensions Europe, September 1999.

The article reviews the early evidence of industrial sector convergence and Style convergence within the Euro Zone .  Analysis is conducted at the individual country market level and across the total Euro Zone.  Consistent patterns of industrial sector performance are clearly evident both before and after the formal introduction of the Euro; and, perhaps even more importantly, there is strong evidence of consistent Style performance across the individual country markets and within the major individual industrial sectors as well.

Style looks to be established as an important management instrument for European equity portfolios.

Presentation given to the Joint INQUIRE UK and INQUIRE Europe Seminar, Edinburgh, March 1999.

The presentation gives the results of new research examining the relevance of Style within and across European markets (including the new 11 market Euro Zone) and looks also at the relevance of Style within individual economic sectors.  The analysis examines the identities of Styles, their time-series patterns of performance, and their importance as factors capable of "explaining" significant proportions of portfolio returns.  Several established and new methodologies are incorporated within the analysis.

All analysis was conducted using the Style Research Markets Analyzer service.

Published in the VBA Journal, The Netherlands, March 1999.

Style is becoming a recognized feature of European markets.  But it is important that investors do not get carried away with enthusiasm.  There are clear benefits to Style practices, but analysis is necessary to ensure that the application of Style techniques is justified.  The article reviews some important relevance criteria and also addresses the important issue of recognizing Style orientations within European portfolios.  Time-series based and Composition based Style analysis techniques are compared.  Compositional Analysis appears to offer the more robust and usable analysis.

Published in Investment & Pensions  Europe, April 1998.

We can easily construct Pan-European Style indices - we have the necessary data, and also the commercial motivation - but does that mean that these Styles are genuinely useful? Using common-sense criteria much of this scepticism can be put into perspective: many, but not all, of the primary Styles can be clearly identified and are potentially exploitable across the Pan-European market; some Styles unfortunately "washout" at this level of aggregation; but, with EMU approaching quickly, changes are fast occurring.

Published in Investment & Pensions  Europe, July / August 1997.

Although Style is a particularly North American innovation, it also has broad applicability within the major markets of Europe. But the concepts cannot be applied without change. It is very important to recognize that different factors frequently apply within even closely related neighbouring markets, and the key Style reward patterns are usually not obviously co-ordinated. But exploitable patterns can often be recognized.

From a presentation to the AIMR in Singapore, September 1997.
Published in AIMR, ICFA Continuing Education Series, May 1998.

The presentation reviewed the development of Style from the US perspective and in the international market context. The material which was presented highlighted the conditions of relevance and applicability that must be satisfied before "Style" can be successfully applied, and identified markets and Styles where the concept is particularly helpful.