Style Trends in Institutional Investment
This paper appeared as a chapter in Equity Style Management: Evaluating and Selecting Investment Styles, Robert A. Klein and Jess Lederman (editors), Irwin Asset Allocation Series for Institutional Investors, 1995.
It is intuitively clear that certain fashions exist in the investment industry: at times we witness “technology fashion” or “emerging markets fashion”. In this paper we describe a methodology that allows us to diagnose and measure these style trends or fashions in institutional investment management. Using readily available manager performance databases and a return-based style analysis technique introduced by William F. Sharpe, we were able to identify style cycles for US domestic equity money managers.
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