Estimating the performance attributes of Australian multi-sector managed funds within a dynamic Kalman filter framework

Title: Estimating the performance attributes of Australian multi-sector managed funds within a dynamic Kalman filter framework
Creator: Holmes, Kathryn A.; Faff, Robert
Relation: International Review of Financial Analysis Vol. 17, Issue 5, p. 998-1011
Publisher Link: http://dx.doi.org/10.1016/j.irfa.2008.05.001
Publisher: Elsevier
Resource Type: journal article
Date: 2008
Description: This paper examines the impact of Kalman filtering as a technique for modeling the risk levels of managed funds. Using a sample of Australian Multi-sector trusts we examine selectivity and market timing performance using conventional performance models alongside Kalman filter models that allow beta to vary via a random walk. Further, we consider the stability and asymmetry of these performance measures together with a measure of volatility timing arising from a cubic model of fund performance. We find that the positive selectivity (negativemarket timing) that stems fromthe conventionalmodels is not present with the Kalman filter model. The Kalman filter model tends to show neutral performance for both. However, both models confirm a strong tendency toward negative volatility timing.
Subject: performance evaluation; managed funds; Kalman filtering
Identifier: uon:5020
Identifier: http://hdl.handle.net/1959.13/42880
Identifier: ISSN:1057-5219
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