Style analysis, customized benchmarks, and managed funds: new evidence | NOVA. The University of Newcastle's Digital Repository

Home

Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.13/43517

Title: Style analysis, customized benchmarks, and managed funds: new evidence
Author/Creator: Holmes, Kathryn A.; Faff, Robert W.
Institution: The University of Newcastle. Faculty of Education & Arts, School of Education
Description: In this article we extend the application of returns-based style analysis in order to gauge the performance of a sample of Australian multisector 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.
Relation: Applied Financial Economics Letters Vol. 4, Issue 4, p. 253-258
Publisher Link: http://dx.doi.org/10.1080/17446540701720519
Date: 2008
Publisher: Routledge
Keyword(s): style analysis; managed funds; performance benchmarks; models
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.13/43517
Identifier: ISSN:1744-6546

19 Visitors

23 Hits

NOVA. The University of Newcastle's Digital Repository