RT Journal Article
SR Electronic
T1 Assessing Fixed-Income Fund Manager Style and Performance from Historical Returns
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 15
OP 25
DO 10.3905/jfi.2001.319280
VO 10
IS 4
A1 David T. Brown
A1 William J. Marchshall
YR 2001
UL https://pm-research.com/content/10/4/15.abstract
AB A fixed income money manager's style and the extent to which the manager's style effects the fund performance is typically determined by examining the positions taken by the manager. However, in many cases detailed data on the portfolio holdings over a long time period are not available. This article develops a methodology for estimating an active fund manager's style and the sources of over or underperformance using only historical returns.