Stability, asymmetry and seasonality of fund performance: An analysis of Australian Multisector managed funds

Kathryn A. Holmes, Robert W. Faff

Research output: Contribution to journalArticleResearchpeer-review

38 Citations (Scopus)

Abstract

Using a sample of Australian Multi-sector trusts we examine selectivity and market timing performance and extend the analysis to include the relatively new measure of volatility timing. This is of particular relevance to our data set, as high levels of volatility persistence are prevalent in Australia. In addition we consider the stability, asymmetry and seasonality of the various performance and risk measures. A survivorship adjustment procedure is also employed in order to assess the impact of survivorship on selectivity, market timing and volatility timing performance.
Original languageEnglish
Pages (from-to)539-578
Number of pages40
JournalJournal of Business Finance and Accounting
Volume31
Issue number3-4
DOIs
Publication statusPublished - Apr 2004
Externally publishedYes

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