TY - JOUR
T1 - Analysing the performance of managed funds using the wavelet multiscaling method
AU - In, Francis
AU - Kim, Sangbae
AU - Marisetty, Vijaya
AU - Faff, Robert
N1 - Funding Information:
Acknowledgments The authors thank an anonymous referee for helpful comments and are pleased to acknowledge the support of the Australian Research Council, grant number DP0557172.
Copyright:
Copyright 2008 Elsevier B.V., All rights reserved.
PY - 2008/7
Y1 - 2008/7
N2 - We propose a new approach for investigating the performance of managed funds using wavelet analysis and apply it to an Australian dataset. This method, applied to a multihorizon Sharpe ratio, shows that the wavelet variance at the short scale is higher than that of the longer scale, implying that an investor with a short investment horizon has to respond to every fluctuation in the realized returns, while for an investor with a much longer horizon, the long-run risk associated with unknown expected returns is not as important as the short-run risk. Using multihorizon Sharpe ratios of six groups of managed funds, we find that none of the fund groups are dominant over all time scales.
AB - We propose a new approach for investigating the performance of managed funds using wavelet analysis and apply it to an Australian dataset. This method, applied to a multihorizon Sharpe ratio, shows that the wavelet variance at the short scale is higher than that of the longer scale, implying that an investor with a short investment horizon has to respond to every fluctuation in the realized returns, while for an investor with a much longer horizon, the long-run risk associated with unknown expected returns is not as important as the short-run risk. Using multihorizon Sharpe ratios of six groups of managed funds, we find that none of the fund groups are dominant over all time scales.
UR - http://www.scopus.com/inward/record.url?scp=42349095896&partnerID=8YFLogxK
U2 - 10.1007/s11156-007-0061-8
DO - 10.1007/s11156-007-0061-8
M3 - Article
AN - SCOPUS:42349095896
SN - 0924-865X
VL - 31
SP - 55
EP - 70
JO - Review of Quantitative Finance and Accounting
JF - Review of Quantitative Finance and Accounting
IS - 1
ER -