Return-based Style Analysis in Australian Funds

Faff, Robert; Nguyen, Annette; Ip, Bonnie H.; Gharghori, Philip

Volume 16, Numbers 3 & 4 / September/December , Pages 155-301

Multinational Finance Journal, 2012, vol. 16, no. 3/4, pp. 155-188
Robert Faff , University of Queensland, Australia
Annette Nguyen , Deakin University, Australia
Bonnie H.I. Ip , BPM Financial Modelling, Australia

Philip Gharghori , Monash University, Australia Corresponding Author

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
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