TY - JOUR T1 - Rethinking Style JF - ETFs and Indexing SP - 20 LP - 26 VL - 2006 IS - 1 AU - David M. Blitzer AU - Srikant Dash Y1 - 2006/09/21 UR - http://guides.pm-research.com/content/2006/1/20.abstract N2 - Ever since its introduction some two decades back, the style classification system of nine boxes has served as a well-accepted and useful tool in fund selection and asset allocation. For financial advisors incorporating exchange-traded funds (ETFs) into client portfolios, style boxes are an important consideration in ETF selection. In this paper we point out some of the limitations of this approach. First, different fund data providers may classify an ETF differently, and the same provider may classify ETFs belonging to the same investment opportunity set differently. Different style evaluation techniques may also lead to differing style box classifications. This leads to problems in peer universe comparisons and peer group rankings. Furthermore, the nine style boxes do not easily accommodate strategies encompassing all sizes of market capitalization, or distinguish between relative style and deep style. These limitations do not mean that the style boxes should be completely avoided. However, they do suggest avoiding rigid or mechanistic uses of the style boxes, or using them as a centerpiece of asset allocation. ER -