Return-Based Style Analysis in Australian Funds

Multinational Finance Journal, 2012, vol. 16, no. 3/4, pp. 155-188

32 Pages Posted: 2 Mar 2013 Last revised: 13 Nov 2014

See all articles by Robert W. Faff

Robert W. Faff

University of Queensland

Philip Gharghori

Monash University

Bonnie Ip

BPM Financial Modelling

Annette Nguyen

Deakin University

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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.

Keywords: Style analysis, managed funds, superannuation funds, fund performance

JEL Classification: G11, G15

Suggested Citation

Faff, Robert W. and Gharghori, Philip and Ip, Bonnie and Nguyen, Annette, Return-Based Style Analysis in Australian Funds. Multinational Finance Journal, 2012, vol. 16, no. 3/4, pp. 155-188. Available at SSRN: https://ssrn.com/abstract=2226389

Robert W. Faff

University of Queensland ( email )

St Lucia
Brisbane, Queensland 4072
Australia

Philip Gharghori (Contact Author)

Monash University ( email )

Wellington Road
Melbourne, 3800
Australia
+61399059247 (Phone)

HOME PAGE: http://research.monash.edu/en/persons/philip-gharghori

Bonnie Ip

BPM Financial Modelling ( email )

Melbourne
Australia

Annette Nguyen

Deakin University ( email )

75 Pigdons Road
Victoria, Victoria 3216
Australia

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