Returns-based style analysis of Greek equity mutual funds

Abstract

One major concern of mutual fund investors is whether active managers are loyal to their stated style at all points in time or if departures from a fund’s expected style is the source of different patterns between a fund and its benchmark. Since information on the actual holdings of a portfolio is limited and published periodically by mutual fund companies, Returns-Based style analysis, introduced by W. Sharpe (1988, 1992) is a huge importance. By using an optimization technique which is similar to a constrained form of regression, the model results in the average style exposures of a portfolio during the period examined. This study attempts to apply Sharpe’s model to Greek equity mutual funds and evaluates their style exposures and consistency during the period 1999-2004.