Style analysis, customized benchmarks, and managed funds: New evidence

Holmes, Kathryn A. and Faff, Robert W. (2008) Style analysis, customized benchmarks, and managed funds: New evidence. Applied Financial Economics Letters, 4 4: 253-258. doi:10.1080/17446540701720519


Author Holmes, Kathryn A.
Faff, Robert W.
Title Style analysis, customized benchmarks, and managed funds: New evidence
Journal name Applied Financial Economics Letters   Check publisher's open access policy
ISSN 1744-6546
1744-6554
Publication date 2008-07
Sub-type Article (original research)
DOI 10.1080/17446540701720519
Volume 4
Issue 4
Start page 253
End page 258
Total pages 6
Place of publication Oxon, United Kingdom
Publisher Routledge
Language eng
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.
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Unknown

Document type: Journal Article
Sub-type: Article (original research)
Collection: UQ Business School Publications
 
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Created: Thu, 03 Mar 2011, 16:16:43 EST by Karen Morgan on behalf of UQ Business School