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Measuring style tilting and decomposing style risk

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In this paper the authors examine the tendency of portfolio managers to under/over-weight portfolios with respect to a particular style such as book-to-price ratio, dividend yield, etc. The authors provide a test statistic for style tilting and a decomposition of ‘active’ risk for large cross-sectional portfolios with respect to exposures of a given attribute. The decomposition classifies risk into three categories — symmetric covariation, asymmetric covariation and variation — and allows the investment style to be identified and quantified.Journal of Asset Management (2004) 5, 64–71; doi:10.1057/palgrave.jam.2240128
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Document Type: Research Article

Publication date: 2004-06-01

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