I am a little bit stuck with my dissertation thesis, so help will be greatly appreciated. I am trying to analyze the performance of different mutual funds, which I have classified according to investment style using a holdings-based analysis. My sample period of reference ranges from 2007 to 2018, with quarterly observations. I have also retrieved the quarterly returns for all these mutual funds, over the sample period.
Now I would like to aggregate all the funds which have a similar investment strategy, and compare the performance of these different groups over the period, eventually demonstrating whether the difference in performance is statistically significant or not.
Do you have any suggestion on how should I aggregate the returns? And as for the comparison of performance, should I simply plot the returns and run a regression and then look at the coefficients?
Thanks in advance