Stability, Asymmetry and Seasonality of Fund Performance: An Analysis of Australian Multi-Sector Managed Funds

40 Pages Posted: 4 Jul 2004

Abstract

Using a sample of Australian Multi-sector trusts we examine selectivity and market timing performance and extend the analysis to include the relatively new measure of volatility timing. This is of particular relevance to our data set, as high levels of volatility persistence are prevalent in Australia. In addition we consider the stability, asymmetry and seasonality of the various performance and risk measures. A survivorship adjustment procedure is also employed in order to assess the impact of survivorship on selectivity, market timing and volatility timing performance.

JEL Classification: G12, G14

Suggested Citation

Holmes, Kathryn A. and Faff, Robert W., Stability, Asymmetry and Seasonality of Fund Performance: An Analysis of Australian Multi-Sector Managed Funds. Journal of Business Finance & Accounting, Vol. 31, No. 3-4, pp. 539-578, April 2004. Available at SSRN: https://ssrn.com/abstract=553248

Kathryn A. Holmes

Monash University

23 Innovation Walk
Wellington Road
Clayton, Victoria 3800
Australia

Robert W. Faff (Contact Author)

University of Queensland ( email )

St Lucia
Brisbane, Queensland 4072
Australia

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