Daniel Buncic

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Buncic
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Daniel
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    Item type:Publication,
    Measuring Fund Style, Performance and Activity: A New Style Profiling Approach
    (Wiley-Blackwell, 2015-03-01)
    Buncic, Daniel  
    ;
    Eggins, Jon E.
    ;
    Hill, Robert J.
    We construct new measures of fund style, performance and activity from linear combinations of off-the-shelf stock-market indices. A fund's benchmark portfolio is a linear combination of two or more reference portfolios that in a least-squares sense most closely approximates the fund's portfolio. The resulting linear combination scalar is itself a measure of fund style and the distance between a fund and its benchmark is a measure of fund activity. Our approach has a number of advantages over existing characteristic-matching methods. We illustrate our approach using a data set of US institutional funds.
    Type:journal article
    Journal:Accounting and Finance
    Volume:55
    Issue:1
    DOI:10.1111/acfi.12047
    URI:https://www.alexandria.unisg.ch/handle/20.500.14171/106691
    Scopus© Citations 5