English, Article edition: Style analysis, customized benchmarks, and managed funds: new evidence Kathryn Holmes; Robert Faff

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Bookmark: http://trove.nla.gov.au/version/50814
Physical Description
  • article
Language
  • English

Edition details

Title
  • Style analysis, customized benchmarks, and managed funds: new evidence
Author
  • Kathryn Holmes
  • Robert Faff
Physical Description
  • article
Notes
  • 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.
  • RePEc:taf:apfelt:v:4:y:2008:i:4:p:253-258
Language
  • English
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