Style analysis and dominant index timing an application to Australian multi-sector managed funds

Using a returns-based style analysis approach, we develop a dominant timing indicator to measure each fund's ability to take advantage of movements in their dominant passive index. We apply this to a sample of Australian multi-sector funds over the period 1990 to 2005. We find evidence that the...

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Veröffentlicht in:Applied financial economics
1. Verfasser: Holmes, Kathryn A. (VerfasserIn)
Weitere Verfasser: Faff, Robert W. (VerfasserIn), Clacher, Iain (VerfasserIn)
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Sprache:eng
Veröffentlicht: 2010
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Zusammenfassung:Using a returns-based style analysis approach, we develop a dominant timing indicator to measure each fund's ability to take advantage of movements in their dominant passive index. We apply this to a sample of Australian multi-sector funds over the period 1990 to 2005. We find evidence that the dominant timing metric presents a more positive picture of fund timing ability in comparison to traditional timing measures; however, the majority of funds are still unable to time their dominant index effectively.
Beschreibung:graph. Darst.
ISSN:0960-3107