- Title
- Style analysis, customized benchmarks, and managed funds: new evidence
- Creator
- Holmes, Kathryn A.; Faff, Robert W.
- Relation
- Applied Financial Economics Letters Vol. 4, Issue 4, p. 253-258
- Publisher Link
- http://dx.doi.org/10.1080/17446540701720519
- Publisher
- Routledge
- Resource Type
- journal article
- Date
- 2008
- 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.
- Subject
- style analysis; managed funds; performance benchmarks; models
- Identifier
- uon:5616
- Identifier
- http://hdl.handle.net/1959.13/43517
- Identifier
- ISSN:1744-6546
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