returns based style analysis

when doing my regression, should i include indexes for market-oriented investing? or just growth & value?

i think the answer is no. 1.market-oriented is not a style. it’s the anything that’s non-value and non-growth. so if your coefficients are insignificant on value or on growth, that it would be market-oriented. 2.methmetically speaking, if you have 3 series of variables (think it like Q1,Q2,Q3,Q4 data). you only need to run regress on two variables. cos the other one is degree of freedom.

Think of asset allocation. Mutually Exclusive, Exhaustive. Russell Top 200 Value/Growth Russell MidCap Value/Growth and Russell 2000 Value/Growth are most common. Covers the entire spectrum. Generally you do not put in market oriented as you are attempting to figure out if they are growth or value manager. By having both if it is market oriented you will have roughly equal percentages in both.

You would not because by doing so you introduce multicollinearity into your regression, which decreases the explanatory power of your resulting regression coefficients. Multicollinearity results from 2 or more independent variables that are related to eachother.

thanks guys, all good answers. I guess if i’m getting answers that are a mix of the 2, then my end result points to a market approach, as opposed to have a market approach as one of the variables.

smileygladhands Wrote: ------------------------------------------------------- > thanks guys, all good answers. I guess if i’m > getting answers that are a mix of the 2, then my > end result points to a market approach, as opposed > to have a market approach as one of the variables. Not necessarily. It just means that your portfolio is partially growth and partially value. A different way to do the regression would be to regress your returns on GMV, where GMV stands for Growth Minus Value. Just take the Growth Return and subtract the Value Return. If you’re regression coefficient turns out to be positive, then you’re mostly growth oriented. If negative, then value. You can thank 1992 Nobel Laureates Fama and French for that piece of insight.