TY - JOUR
T1 - Style analysis, customized benchmarks, and managed funds: New evidence
AU - Holmes, Kathryn A.
AU - Faff, Robert W.
N1 - Copyright:
Copyright 2008 Elsevier B.V., All rights reserved.
PY - 2008/7
Y1 - 2008/7
N2 - In this article we extend the application of returns-based style analysis in order to gauge the performance of a sample of Australian multi-sector 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.
AB - In this article we extend the application of returns-based style analysis in order to gauge the performance of a sample of Australian multi-sector 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.
UR - http://www.scopus.com/inward/record.url?scp=47049089037&partnerID=8YFLogxK
U2 - 10.1080/17446540701720519
DO - 10.1080/17446540701720519
M3 - Article
AN - SCOPUS:47049089037
SN - 1744-6546
VL - 4
SP - 253
EP - 258
JO - Applied Financial Economics Letters
JF - Applied Financial Economics Letters
IS - 4
ER -