"Barra Institutional Style Indices", Barra Newsletter, November/December 1991, p3
Topic: Investing (Investment Management) |
Asset Class: Multi-Asset Class
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Barra has traditionally seen the market place as multifaceted, and we have captured those facets of the market through factors such as SIZE, VOLATILITY, SUCCESS, VALUE, GROWTH, and the like. The opposite viewpoint is the old, one-dimensional separation of stocks into large and small. Style indices represent something of a midpoint between Barra's multifaceted view of the market and the one-dimensional view. To create style indices we look along the axis of value and growth and end up with a matrix stratification into categories such as large-value, large-growth, small-value, small-growth, and so on. Style indices are similar to factors in that it is possible to define a style portfolio as a list of stock holdings. Style index portfolios have the added benefit of being a capitalization-weighted list of assets; that is, the critical item in the style portfolio is membership in the list; weighting is always in proportion to capitalization. Every asset in the market gets included in only one of the style portfolios, so we can consider the style portfolios as pieces of a mosaic; put all the pieces together and you get the market.!
Publication:
Authors: DIVECHA Arjun, GRINOLD Richard
