Abstract
In this article we extend the application of returns-based style analysis in order to gauge the performance of a sample of Australian multi-sector managed funds. Specifically, we apply both static and rolling window style analysis to develop customized performance benchmarks for each fund. These benchmarks are then applied within traditional models to assess fund selectivity, market timing and volatility timing performance.
Original language | English |
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Pages (from-to) | 253-258 |
Number of pages | 6 |
Journal | Applied Financial Economics Letters |
Volume | 4 |
Issue number | 4 |
DOIs | |
Publication status | Published - 2008 |
Keywords
- Australia
- evaluation
- investments
- mutual funds