Performance Benchmarking Managed Funds: Australian Fixed Interest Funds

Edith Cowan U, School of Accounting, Finance and Economics Working Paper

64 Pages Posted: 10 Sep 2002

See all articles by Victor Soucik

Victor Soucik

School of Finance and Business Economics

David E. Allen

School of Mathematics and Statistics, The University of Sydney; Financial Research Network (FIRN); Department of Finance; School of Business and Law, Edith Cowan University

Date Written: August 2002

Abstract

In this paper we analyse the performance of fixed interest managed funds. We examine five measurement models across three risk-free proxies, nine benchmarks (covering conditional and unconditional as well as single and multi factor definitions) over two independent periods in an effort to identify (in a consistent setting) the most accurate and least biased methodology. The use of an Australian dataset, sourced from the Australian fund-rating agency ASSIRT means that we can provide some independent results from US studies of these. There is little prior work on Australian fixed-interest managed funds. We examine three risk-free proxies, six benchmark classes encompassing twenty-one potential factors, across five models and two independent time frames. The task is complicated by two issues - an acute lack of Australian data (demanding additional bootstrap simulations and bridging tests with the US markets) and the need for a two-pass (time-series and cross-sectional) analysis, arising from the different information content benchmarks carry in these two dimensions. The results, consistent across time, show that a correct combination of a bond market variable, a mixture of interest rate factors and economic factors as well as the proxy for movements in the equity markets yield the optimal benchmark.

Keywords: Performance Benchmarking, Fixed Interest Managed Funds

JEL Classification: G10, G12, G24

Suggested Citation

Soucik, Victor and Allen, David Edmund, Performance Benchmarking Managed Funds: Australian Fixed Interest Funds (August 2002). Edith Cowan U, School of Accounting, Finance and Economics Working Paper. Available at SSRN: https://ssrn.com/abstract=326880 or http://dx.doi.org/10.2139/ssrn.326880

Victor Soucik

School of Finance and Business Economics ( email )

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Joondalup, WA 6027
Australia
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David Edmund Allen (Contact Author)

School of Mathematics and Statistics, The University of Sydney ( email )

School of Mathematics and Statistics F07
University of Sydney
Sydney, New South Wales 2006
Australia

HOME PAGE: http://www.maths.usyd.edu.au

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Department of Finance ( email )

Taiwan
Taiwan

School of Business and Law, Edith Cowan University

100 Joondalup Drive
Joondalup, WA 6027
Australia

HOME PAGE: http://www.dallenwapty.com

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