The Handbook of Equity Style Management

by T. Daniel Coggin (Editor), Frank J. Fabozzi (Editor)

Book by

Paperback

First published April 7, 2003

Reviews

[Max Lybbert · Rating 3 out of 5]

I'm a former co-worker of Thomas Becker (chapter 19). Well, we worked at the same company, but not (usually) on the same team. I have a habit of reading his old papers, including "The Mathematics of Returns-Based Style Analysis" parts 1 and 2. Those papers direct the interested reader to his chapter in this book (3rd edition). Contrary to popular belief, returns based style analysis is not linear regression.

Since I know how Becker teaches math, I got a copy. Many teachers explain how to calculate a number; Becker explains why the number is useful and how the calculation relates to that utility (e.g., a paper on the K-ratio, blog post on fixed rate equivalent). And his chapter delivers what I had hoped.

The other chapters are, frankly, a grab bag. Many are helpful and entertaining, some could have used more careful proofreading, and many focus in some way on Fama-French as it existed at the time.