IDEAS home Printed from https://ideas.repec.org/a/taf/apfiec/v20y2010i4p293-301.html
   My bibliography  Save this article

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

Author

Listed:
  • Kathryn Holmes
  • Robert Faff
  • Iain Clacher

Abstract

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.

Suggested Citation

  • Kathryn Holmes & Robert Faff & Iain Clacher, 2010. "Style analysis and dominant index timing: an application to Australian multi-sector managed funds," Applied Financial Economics, Taylor & Francis Journals, vol. 20(4), pages 293-301.
    • Handle: RePEc:taf:apfiec:v:20:y:2010:i:4:p:293-301
    DOI: 10.1080/09603100903459915
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903459915
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/09603100903459915?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Georgi Nalbantov & Rob Bauer & Ida Sprinkhuizen-Kuyper, 2006. "Equity style timing using support vector regressions," Applied Financial Economics, Taylor & Francis Journals, vol. 16(15), pages 1095-1111.
    2. Kathryn A. Holmes & Robert W. Faff, 2004. "Stability, Asymmetry and Seasonality of Fund Performance: An Analysis of Australian Multi‐sector Managed Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(3‐4), pages 539-578, April.
    3. Kathryn A. Holmes & Robert W. Faff, 2004. "Stability, Asymmetry and Seasonality of Fund Performance: An Analysis of Australian Multi‐sector Managed Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(3‐4), pages 539-578, April.
    4. Laurens Swinkels & Pieter Van Der Sluis, 2006. "Return-based style analysis with time-varying exposures," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 529-552.
    5. Pattarin, Francesco & Paterlini, Sandra & Minerva, Tommaso, 2004. "Clustering financial time series: an application to mutual funds style analysis," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 353-372, September.
    6. Stephanos Papadamou & Costas Siriopoulos, 2004. "American equity mutual funds in European markets: Hot hands phenomenon and style analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(2), pages 85-97.
    7. Robert Faff & David R. Gallagher & Eliza Wu, 2005. "Tactical Asset Allocation: Australian Evidence," Australian Journal of Management, Australian School of Business, vol. 30(2), pages 261-282, December.
    8. Patrick McGuire & Eli Remolona & Kostas Tsatsaronis, 2005. "Time-varying exposures and leverage in hedge funds," BIS Quarterly Review, Bank for International Settlements, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chris Grose, 2013. "Diversification Opportunities through Fixed-income Managed Funds in Eastern Europe," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 12(1), pages 1-29, April.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Stephanos Papadamou & Nikolaos A. Kyriazis & Lydia Mermigka, 2017. "Japanese Mutual Funds before and after the Crisis Outburst: A Style- and Performance-Analysis," IJFS, MDPI, vol. 5(1), pages 1-20, March.
    2. Holmes, Kathryn A. & Faff, Robert, 2008. "Estimating the performance attributes of Australian multi-sector managed funds within a dynamic Kalman filter framework," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 998-1011, December.
    3. Victor Soucik & David E. Allen, 2006. "Benchmarking Australian fixed interest fund performance: finding the optimal factors," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 46(5), pages 865-898, December.
    4. Philip Gharghori & Charly Sujoto & Madhu Veeraraghavan, 2008. "Are Australian Investors Smart?," Australian Journal of Management, Australian School of Business, vol. 32(3), pages 525-544, March.
    5. Ferson, Wayne & Mo, Haitao, 2016. "Performance measurement with selectivity, market and volatility timing," Journal of Financial Economics, Elsevier, vol. 121(1), pages 93-110.
    6. Viet Do & Robert Faff & Madhu Veeraraghavan, 2009. "Do Australian hedge fund managers possess timing abilities?," Applied Financial Economics, Taylor & Francis Journals, vol. 19(1), pages 27-38.
    7. David R Gallagher & Peter A Gardner & Camille H Schmidt & Terry S Walter, 2014. "Quality investing in an Australian context," Australian Journal of Management, Australian School of Business, vol. 39(4), pages 615-643, November.
    8. Francis In & Sangbae Kim & Philip I Ji, 2014. "On timing ability in Australian managed funds," Australian Journal of Management, Australian School of Business, vol. 39(1), pages 93-106, February.
    9. Martin Rohleder & Hendrik Scholz & Marco Wilkens, 2010. "Survivorship Bias and Mutual Fund Performance: Relevance, Significance, and Methodical Differences," Review of Finance, European Finance Association, vol. 15(2), pages 441-474.
    10. Juan C. Matallín‐Sáez, 2006. "Seasonality, Market Timing and Performance Amongst Benchmarks and Mutual Fund Evaluation," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(9‐10), pages 1484-1507, November.
    11. Ortas, E. & Salvador, M. & Moneva, J.M., 2015. "Improved beta modeling and forecasting: An unobserved component approach with conditional heteroscedastic disturbances," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 27-51.
    12. 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.
    13. Tchamyou, Vanessa S. & Asongu, Simplice A., 2017. "Conditional market timing in the mutual fund industry," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1355-1366.
    14. Ortas, Eduardo & Moneva, José M. & Salvador, Manuel, 2012. "Does socially responsible investment equity indexes in emerging markets pay off? Evidence from Brazil," Emerging Markets Review, Elsevier, vol. 13(4), pages 581-597.
    15. Lambert, Marie & Platania, Federico, 2020. "The macroeconomic drivers in hedge fund beta management," Economic Modelling, Elsevier, vol. 91(C), pages 65-80.
    16. Iqbal, Javed & Brooks, Robert & Galagedera, Don UA, 2007. "Testing Asset Pricing Models in Emerging Markets: An Examination of Higher Order Co-Moments and Alternative Factor Models," MPRA Paper 25020, University Library of Munich, Germany, revised Oct 2007.
    17. repec:ipg:wpaper:2014-599 is not listed on IDEAS
    18. Rob Bauer & Rogér Otten & Alireza Tourani Rad, 2006. "New Zealand mutual funds: measuring performance and persistence in performance," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 46(3), pages 347-363, September.
    19. Takaya Fukui & Seisho Sato & Akihiko Takahashi, 2017. "Style analysis with particle filtering and generalized simulated annealing," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-29, June.
    20. Kalima, Bwalya & Gopane, Thabo, 2022. "Portfolio performance under dynamic systematic risk and conditional betas: The South African unit trust market," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 66, pages 85-98.
    21. Benjamin Langford & Robert Faff & Vijaya Marisetty, 2006. "On the Choice of Superannuation Funds in Australia," Journal of Financial Services Research, Springer;Western Finance Association, vol. 29(3), pages 255-279, June.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:20:y:2010:i:4:p:293-301. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAFE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.