This paper analyses the performance of a sample of Australian international equity trusts over the period 1990-1999 using monthly data. Selectivity and timing performance is examined for a surviving sample and two alternative non-surviving samples. Additionally, alternative time frames are examined, as are various subcategories of fund classifications. Overall the results are consistent with much of the literature in that funds are unable to time the market and that there is an inverse relationship between market timing and selectivity measures. Adjustment for survivorship bias has a minimal impact. Furthermore, the results are relatively consistent between differing fund classifications; however, the time frame for the study does have an impact on our findings.
|Number of pages
|Journal of International Financial Markets, Institutions and Money
|Published - Feb 2003