Publication: The Mixed vs the Integrated Approach to Style Investing: Much Ado About Nothing?
The Mixed vs the Integrated Approach to Style Investing: Much Ado About Nothing?
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Rüegg, R., & Leippold, M. (2018). The Mixed vs the Integrated Approach to Style Investing: Much Ado About Nothing? European Financial Management, 24(5), 829–855. https://doi.org/10.1111/eufm.12139
Abstract
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Abstract
We study the difference between the returns to the integrated approach to style investing and those to the mixed approach. Unlike the mixed approach, the integrated approach aggregates factor characteristics at security level. Recent literature finds that the integrated approach dominates the mixed approach. Using statistical tools for robust performance testing, we demystify these findings as a statistical fluke. We do not find any evidence favoring the integrated approach. What we do find is that the integrated approach exhibits a h
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- Rüegg, Roger
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Rüegg, R., & Leippold, M. (2018). The Mixed vs the Integrated Approach to Style Investing: Much Ado About Nothing? European Financial Management, 24(5), 829–855. https://doi.org/10.1111/eufm.12139