In the second analysis, St. Jacques’ large-cap, midcap, small-cap, and fixed-income weightings changed by no more than 2%. Holdings-based analysis does require more data than the returns-based analysis Johnson used. In real life, large-cap growth and value benchmarks are likely to have significant correlation. Capitalization-specific benchmarks also have substantial correlation. While the percentages have value and can help assess a manager’s style, the likely correlation between different style categories suggests the numbers are not truly representative of the percentage of the portfolios’ returns attributable to price movements within that asset class. Returns-based analysis should work just as well for blend funds as it does for value or growth funds |
