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Investigating performance benchmarks in the context of international trusts: Australian evidence

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  • Karen Benson
  • Robert Faff

Abstract

In the context of international funds, investigations have been made of a range of performance models including both domestic and international market index benchmarks and distinguishing selectivity and timing performance. A sample of Australian international equity trusts are examined over the period 1990 to 1999. Generally, findings confirm the widely held belief that funds are unable to time the market and that there is an inverse relationship between market timing and selectivity performance. Importantly however, it is found that the choice of index does have an impact on results, particularly at the individual fund level.

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  • Karen Benson & Robert Faff, 2004. "Investigating performance benchmarks in the context of international trusts: Australian evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 14(9), pages 631-644.
    • Handle: RePEc:taf:apfiec:v:14:y:2004:i:9:p:631-644
    DOI: 10.1080/0960310032000
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    References listed on IDEAS

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    Cited by:

    1. Eduardo Roca & Victor Wong, 2008. "An analysis of the sensitivity of Australian superannuation funds to market movements: a Markov regime switching approach," Applied Financial Economics, Taylor & Francis Journals, vol. 18(7), pages 583-597.
    2. Juan Matallin-Saez, 2007. "Portfolio performance: factors or benchmarks?," Applied Financial Economics, Taylor & Francis Journals, vol. 17(14), pages 1167-1178.

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