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The Journal of Fixed Income

The Journal of Fixed Income

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Primary Article

Assessing Fixed-Income Fund Manager Style and Performance from Historical Returns

David T. Brown and William J. Marchshall
The Journal of Fixed Income Spring 2001, 10 (4) 15-25; DOI: https://doi.org/10.3905/jfi.2001.319280
David T. Brown
The William R. Hough professor of finance at the University of Florida in Gainesville.
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William J. Marchshall
The chief operating officer at NISA Investment Advisors, LLC, in St. Louis, MO.
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Abstract

A fixed income money manager's style and the extent to which the manager's style effects the fund performance is typically determined by examining the positions taken by the manager. However, in many cases detailed data on the portfolio holdings over a long time period are not available. This article develops a methodology for estimating an active fund manager's style and the sources of over or underperformance using only historical returns.

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The Journal of Fixed Income
Vol. 10, Issue 4
Spring 2001
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Assessing Fixed-Income Fund Manager Style and Performance from Historical Returns
David T. Brown, William J. Marchshall
The Journal of Fixed Income Mar 2001, 10 (4) 15-25; DOI: 10.3905/jfi.2001.319280

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Assessing Fixed-Income Fund Manager Style and Performance from Historical Returns
David T. Brown, William J. Marchshall
The Journal of Fixed Income Mar 2001, 10 (4) 15-25; DOI: 10.3905/jfi.2001.319280
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