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

• Autores: Kathryn Holmes, Robert Faff, Iain Clacher
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 20, Nº. 4-6, 2010, págs. 293-301
• Idioma: inglés
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• Resumen

  • 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.