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CHAPTER 1
Style Analysis: Asset Allocation and Performance Evaluation 1
Arik Ben Dor and Ravi Jagannathan
CHAPTER 2
The Many Elements of Equity Style: Quantitative Management of
Core, Growth, and Value Strategies 47
Robert D. Arnott and Christopher G. Luck
CHAPTER 3
Models of Equity Style Information 75
Robert C. Radcliffe
CHAPTER 4
Style Analysis: A Ten-Year Retrospective and Commentary 109
R. Stephen Hardy
CHAPTER 5
More Depth and Breadth than the Style Box: The Morningstar Lens 131
Paul D. Kaplan, James A. Knowles, and Don Phillips
CHAPTER 6
Using Portfolio Holdings to Improve the Search for Skill 159
Ronald J. Surz
vi Contents
CHAPTER 7
Are Growth and Value Dead?: A New Framework for Equity Investment Styles 171
Lawrence S. Speidell and John Graves
CHAPTER 8
The Style of Investor Expectations 195
Hersh Shefrin and Meir Statman
CHAPTER 9
The Effects of Imprecision and Bias on the Abilities of Growth and
Value Managers to Outperform their Respective Benchmarks 219
Robert A. Haugen
CHAPTER 10
Style Return Differentials: Illusions, Risk Premiums, or
Investment Opportunities 229
Richard Roll
CHAPTER 11
The Persistence of Equity Style Performance:
Evidence from Mutual Fund Data 259
Ronald N. Kahn and Andrew Rudd
CHAPTER 12
How the Technology Bubble of 1999–2000 Disrupted Equity Style Investing 273
Kari Bayer Pinkernell and Richard Bernstein
CHAPTER 13
Multistyle Equity Investment Models 293
Parvez Ahmed, John G. Gallo, Larry J. Lockwood, and Sudhir Nanda
CHAPTER 14
A Comparison of Fixed versus Flexible Market Capitalization Style Allocations:
Don’t Be Boxed in by Size 315
Marc R Reinganum
CHAPTER 15
A Plan Sponsor Perspective on Equity Style Management 333
Keith Cardoza
Contents vii
CHAPTER 16
An Analysis of U.S. and Non-U.S. Equity Style Index Methodologies 359
H. David Shea
CHAPTER 17
Country-Level Equity Style Timing 407
Clifford Asness, Robert Krail, and John Liew
CHAPTER 18
Value Investing and the January Effect: Some More International Evidence 419
Bala Arshanapalli, T. Daniel Coggin, and William Nelson
CHAPTER 19
Exploring the Mathematical Basis of Returns-Based Style Analysis 435
Thomas Becker
CHAPTER 20
Trading (and Investing) in “Style” Using Futures and Exchange-Traded Funds 455
Joanne M. Hill
INDEX 483
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