Daniel et al. (1997) further refine style-based performance mea- sures by examining the actual holdings of mutual funds, and measuring the characteristics of the stocks held by the fund. The characteristics include the market capitalization or size, a measure of value (the ratio of book value to market value), and the return over the previous year. For a given fund, the OE portfolio is formed by matching the char- acteristics of the portfolio held by the fund with “passive” portfolios constructed to have the same characteristics
