Return-Based Style Analysis in Australian Funds
34 Pages Posted: 19 Jun 2015
Date Written: June 17, 2015
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: Suggested Citation