Style analysis, customized benchmarks, and managed funds: New evidence

Kathryn A. Holmes, Robert W. Faff

Research output: Contribution to journalArticleResearchpeer-review

2 Citations (Scopus)


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.

Original languageEnglish
Pages (from-to)253-258
Number of pages6
JournalApplied Financial Economics Letters
Issue number4
Publication statusPublished - Jul 2008
Externally publishedYes


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