Beyond the Returns - the U.S. Mutual Funds Value and Growth Style Weighted Sector Portfolios Investment Performance Attribution

Časopis: Economic Analysis

Volume, no: 54 , 2

ISSN: 1821-2573

DOI: 10.28934/ea.21.54.2.pp1-19

Stranice: 1-19


The aim of this study is to provide insight into the portfolios constructed out of sector mutual funds, based on value and growth investment styles. Moreover, this study does not exclusively consider the returns, but it looks beyond them by incorporating the holdings data into portfolio performance attribution. We use two different sector mutual funds across the US sectors, over the observed decade. The findings show that smart money was not able to produce the value on the cumulative basis. We show that growth style was favourable over the observed decade. In addition, by implementing the growth style based on Shiller price-to-earnings in the portfolio construction and assigning sector weights the tested portfolio offset partially and fully the negative effect by managers’ stock selection. Overall, the holdings-based relative portfolios attribution in relation to appropriate benchmarks gave additional insight into dynamics of the alpha creation and the loss of alpha. Brinson-Fackler and Brinson-Hood-Beebower attribution models are used including distinct model versions. In addition, the geometric attribution model is used to provide analytical consistency for multi-period attribution
Ključne reči: Brinson models, geometric attribution, mutual funds’ performance, allocation effect, selection effect
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