Returns-based style analysis (RBSA) is an important tool for most investment professionals.  Unlike holdings-based style analysis (HBSA) which requires timely and accurate information on the underlying holdings, RBSA can be conducted with much less information:  all that is needed is the historical returns of the investment in question.  RBSA enables its user to learn about the likely historical composition of a portfolio or investment (or at least its market exposure) by comparing the returns of the investment to a set of benchmark indices.

Determining the Optimal Benchmark Indices for a Domestic Equity Returns-Based Style Analysis