TY - JOUR
T1 - Return-based style analysis in Australian funds
AU - Faff, Robert W.
AU - Gharghori, Philip
AU - Ip, Bonnie H. I.
AU - Nguyen, Annette
PY - 2012
Y1 - 2012
N2 - This study applies return-based style analysis to a sample of Australian managed and superannuation funds, seeking to compare their asset allocation strategies across different style groups. Style analysis is performed using a rolling window estimation technique. As expected, riskier fund classes are more exposed to the riskier benchmarks. Further, differences in institutional and legal settings lead the managers of managed and superannuation funds to invest differently, with the latter employing a more conservative investment strategy despite having longer investment horizons.
AB - This study applies return-based style analysis to a sample of Australian managed and superannuation funds, seeking to compare their asset allocation strategies across different style groups. Style analysis is performed using a rolling window estimation technique. As expected, riskier fund classes are more exposed to the riskier benchmarks. Further, differences in institutional and legal settings lead the managers of managed and superannuation funds to invest differently, with the latter employing a more conservative investment strategy despite having longer investment horizons.
UR - http://handle.uws.edu.au:8081/1959.7/564406
UR - http://www.mfsociety.org/modules/modDashboard/uploadFiles/journals/googleScholar/850.html
M3 - Article
SN - 1096-1879
VL - 16
SP - 155
EP - 188
JO - Multinational Finance Journal
JF - Multinational Finance Journal
IS - 45385
ER -