Style analysis and dominant index timing: an application to Australian multi-sector managed funds

Title: Style analysis and dominant index timing: an application to Australian multi-sector managed funds
Creator: Holmes, Kathryn; Faff, Robert; Clacher, Iain
Relation: Applied Financial Economics Vol. 20, Issue 4, p. 293-301
Publisher Link: http://dx.doi.org/10.1080/09603100903459915
Publisher: Routledge
Resource Type: journal article
Date: 2010
Description: Using a returns-based style analysis approach, we develop a dominant timing indicator to measure each fund's ability to take advantage of movements in their dominant passive index. We apply this to a sample of Australian multi-sector funds over the period 1990 to 2005. We find evidence that the dominant timing metric presents a more positive picture of fund timing ability in comparison to traditional timing measures; however, the majority of funds are still unable to time their dominant index effectively.
Subject: style analysis; dominant index; managed funds; dominant timing indicators
Identifier: http://hdl.handle.net/1959.13/921889
Identifier: uon:9428
Identifier: ISSN:0960-3107
Language: eng
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