Return-based style analysis in Australian funds

Faff, Robert W., Gharghori, Philip, Ip, Bonnie H. I. and Nguyen, Annette 2012, Return-based style analysis in Australian funds, Multinational finance journal, vol. 16, no. 3/4, pp. 1-34.

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Title Return-based style analysis in Australian funds
Author(s) Faff, Robert W.
Gharghori, Philip
Ip, Bonnie H. I.
Nguyen, Annette
Journal name Multinational finance journal
Volume number 16
Issue number 3/4
Start page 1
End page 34
Publisher Multinational Finance Society
Place of publication Camden, New Jersey
Publication date 2012
ISSN 1096-1879
Keyword(s) style analysis
managed funds
superannuation funds
fund performance
Summary 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.
Language eng
Field of Research 091502 Computational Heat Transfer
Socio Economic Objective 900103 Superannuation and Insurance Services
HERDC Research category C1.1 Refereed article in a scholarly journal
Persistent URL http://hdl.handle.net/10536/DRO/DU:30058745

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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