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Returns-based style analysis Pros & Cons

February 5, 2018
Pros Cons
  • Characterizes entire portfolio
  • Facilitates comparisons of portfolios
  • Aggregates the effect of the investment process
  • Different models usually give broadly similar results
  • Clear theoretical basis
  • Requires minimal information
  • Can be executed quickly
  • Cost effective
  • May be ineffective in characterizing current style
  • Error in specifying indexes in the model may lead to inaccurate conclusions


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