IMAS Training: Style and Style Analysis in Global Markets

IMAS Training: Style and Style Analysis in Global Markets

14 Mar 2005

Dear Members

IMAS is hosting a talk on Style Analysis by Robert Schwob,
Director of Style Research.

Date : Monday, 14th March 2005
Time : 12.30 – 2.00pm, Lunch with be served
Venue : Reuters Business Centre,
1 Raffles Place #55-00 OUB Centre
Cost : $20 members, $30 members of affiliated
associations, $50 non members
(rates exlcusive of GST)

Current Theoretical and Practical Issues
– Is Style Analysis Honest?
– Style and Portfolio Risk
– Managing within Styles
– Holdings-Based vs. Returns-Based Style Analysis
– What is the likely future for Style?

The Style vocabulary has been with investors for about 70 years; it enjoyed a surge in popularity and practical application with Bill Sharpe?s introduction of Returns-Base d Style analysis in the early 1990s; and now it is broadly used to describe investment managers, strategies and philosophies and, most importantly, several tens of thousands of mutual funds worldwide. Yet, until very recently, there has been no formal definition describing exactly what Style means, nor have there been any concerted efforts to establish that Style-based investment and analysis techniques are indeed applicable across global markets.

This short presentation will trace the evolution of Style thinking, and identify the key elements of Style that can be tested to determine its relevance in international markets. The presentation will show results of this recent and ongoing research, and will also include new areas of Style research relating to Style and risk analysis (Are Style-based portfolios intrinsically more risky? Can risk decomposition be used to identify the true Style of a portfolio manager?), and suggesting important, possibly behavioural, differences between Value managers and Growth managers.

The discussion will also explore the practical features of both Holdings-Based and Returns-Based Style Analysis, introducing an area of current research and enquiry (Which is best? Forwhat? And why?), and will also attempt to look into the future of Style practices within Global markets.

Robert Schwob is the founding Director of Style Research, an independent provider of global equity Style research, portfolio analysis software, and Internet-based equity and funds research facilities. Previously, Robert was Chief Executive if Quorum Capital Management Limited, London (a global active Style-based investment manager) and prior to that Chief Investment Officer for the Citibank Private Bank (Europe, Middle East and Africa). Robert has published broadly in the professional journals on Style Analysis and Style Management, Stock Selection, Benchmark Selection and Market Allocation Processes, and Hedging and Currency Management.

Presentation Slides

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