Models: Fund Stylus

Stylus is a returns-based style model.  Portfolio returns behave like the behavior of its components.  A fund holding "growth" stocks will correlate with a growth portfolios;  with "value" stocks, it will correlate with value.  When a fund migrates from one style to another, returns behavior migrates too.

Data refinement is critical for fidelity and timeliness.  Stylus uses daily returns.  High frequency data expands information content.  Expanded information means (a) better accuracy, and (b) more recency.  

Stylus scores are expressed as correlations relative to six style benchmarks.   Additional benchmarks can be incorporated by client order.

Stylus Examples

The tables below compare Stylus score for three funds over three years (each 12 months ending 9/30).   

Aim Blue Chip: Solid Style Consistency

ABCAX Lg/Gro Lg/Val Mid/Gro Mid/Val Sm/Gro Sm/Val
Sept 01 .86 .60 .21     .19
Sept 02 .86 .39       .12
Sept 03 .86 .36       .03

RS Value+Growth: Hybrid for two years, then all-Growth in 2003

RSVPX Lg/Gro Lg/Val Mid/Gro Mid/Val Sm/Gro Sm/Val
Sept 01 .43     .20    
Sept 02   .30 .38     .09
Sept 03 .13   .40   .15  

Strong Discovery: Drift toward Smaller-Cap

STDIX Lg/Gro Lg/Val Mid/Gro Mid/Val Sm/Gro Sm/Val
Sept 01 .25     .11 .22  
Sept 02   .35 .35    
Sept 03   .37   .16 .17

AIM Blue Chip stays clearly in the large-cap style, with a strong bias toward the growth corner.  RS Value Plus shows a mix of growth and value styles (with varying size focus) until 2003, when it suddenly shows all-growth.  Strong Discovery is mixed, but has generally shown a drift from large cap to smaller cap emphasis over these years.

Applications

Stylus can be the basis for one-time portfolio analysis, or designed into monthly or quarterly services.  Scope, frequency, historical backup, and benchmark selection are among the custom options.

To enquire about Stylus applications with your own data and funds, you can leave a message back at the Models page, or use the master checklist of Analytix Services.  Or call directly anytime, at (603) 643-6430.


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