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Style Analysis Based on a General State Space Model and Monte Carlo Filter

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Author Info
Takao Kobayashi (Faculty of Economics, University of Tokyo)
Seisho Sato (Department of Prediction and Control, Institute of Statistical Mathematics)
Akihiko Takahashi (Faculty of Economics, University of Tokyo)
Abstract

This paper proposes a new approach to style analysis by utilizing a general state space model and Monte Carlo filter. In particular,We regard coefficients of style indices as state variables in the state space model and apply Monte Carlo filter as estimation method. Moreover, an empirical analysis using actual funds' data confirms the validity of our approach.

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File URL: http://www.e.u-tokyo.ac.jp/cirje/research/dp/2005/2005cf337.pdf
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Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-337.

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Length: 25 pages
Date of creation: Apr 2005
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Handle: RePEc:tky:fseres:2005cf337

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  1. Swinkels, L. & Sluis, P.J. van der, 2001. "Return-based style analysis with time-varying exposures," Discussion Paper 96, Tilburg University, Center for Economic Research. [Downloadable!]
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  2. Louis K. C. Chan & Hsiu-Lang Chen & Josef Lakonishok, 2002. "On Mutual Fund Investment Styles," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 15(5), pages 1407-1437.
  3. Brown, Stephen J. & Goetzmann, William N., 1997. "Mutual fund styles," Journal of Financial Economics, Elsevier, vol. 43(3), pages 373-399, March. [Downloadable!] (restricted)
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  4. Fung, William & Hsieh, David A, 1997. "Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 10(2), pages 275-302.
  5. Ferson, Wayne E & Schadt, Rudi W, 1996. " Measuring Fund Strategy and Performance in Changing Economic Conditions," Journal of Finance, American Finance Association, vol. 51(2), pages 425-61, June. [Downloadable!] (restricted)
  6. Akihiko Takahashi & Seisho Sato, 2001. "A Monte Carlo Filtering Approach for Estimating the Term Structure of Interest Rates," Annals of the Institute of Statistical Mathematics, Springer, vol. 53(1), pages 50-62, March. [Downloadable!] (restricted)
  7. Busse, Jeffrey A, 1999. "Volatility Timing in Mutual Funds: Evidence from Daily Returns," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 12(5), pages 1009-41.
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