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Return-based Style Analysis in Australian Funds

Author

Listed:
  • Robert Faff

    (University of Queensland, Australia)

  • Annette Nguyen

    (Deakin University, Australia)

  • Bonnie H.I. Ip

    (BPM Financial Modelling, Australia)

  • Philip Gharghori

    (Monash University, Australia)

Abstract

This study applies return-based style analysis to a sample of Australian managed and superannuation funds, seeking to compare their asset allocation strategies across different style groups. Style analysis is performed using a rolling window estimation technique. As expected, riskier fund classes are more exposed to the riskier benchmarks. Further, differences in institutional and legal settings lead the managers of managed and superannuation funds to invest differently, with the latter employing a more conservative investment strategy despite having longer investment horizons.

Suggested Citation

  • Robert Faff & Annette Nguyen & Bonnie H.I. Ip & Philip Gharghori, 2012. "Return-based Style Analysis in Australian Funds," Multinational Finance Journal, Multinational Finance Journal, vol. 16(3-4), pages 155-188, September.
    • Handle: RePEc:mfj:journl:v:16:y:2012:i:3-4:p:155-188
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    References listed on IDEAS

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    Cited by:

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    2. Zhichao Zhang & Li Ding & Si Zhou & Yaoyao Fu, 2014. "Fund Family Tournament and Performance Consequences: Evidence from the UK fund industry," Multinational Finance Journal, Multinational Finance Journal, vol. 18(1-2), pages 43-84, March - J.

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    More about this item

    Keywords

    Style analysis; managed funds; superannuation funds; fund performance;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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