What does returns-based style analysis primarily require?

Returns-based style analysis primarily requires portfolio returns on a return series of a set of securities indices. This methodology focuses on analyzing how the returns of a portfolio correlate with various benchmark indices, allowing analysts to determine the underlying investment style of the portfolio manager. By examining the relationship between the performance of a portfolio and those indices, investors can gain insights into the risk and return characteristics attributed to the portfolio's composition.

The reason why this option is the core requirement is that returns-based style analysis is fundamentally about assessing returns, rather than delving into the specifics of individual securities or their financial statements, which would fall under fundamental analysis. The approach leverages historical return data to identify style factors, such as growth versus value investing or small-cap versus large-cap exposure, making it a valuable tool for evaluating investment strategies.

The other options do not align with the primary goal of this analysis. While having detailed financial reports (like option B) can be useful for fundamental analysis, they are not essential for returns-based style analysis, which focuses solely on return correlations. Historical data on market trends (option C) can provide context but is not a primary requirement since style analysis specifically utilizes portfolio returns against indices. Fundamental analysis of each security (option D) diverges from the returns