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

Authors

  • Kathryn A. Holmes,

  • Robert W. Faff

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       The authors are from Monash University, Victoria, Australia. They would like to thank an anonymous referee for providing helpful comments that greatly improved the quality of this paper. Part of this research was conducted while the second author was employed at RMIT. The second author also gratefully acknowledges the funding provided by a 2000 ARC small grant. (Paper received January 2001, revised and accepted October 2002)


Robert Faff, Professor of Finance, Department of Accounting and Finance, PO Box 11E, Monash University, Victoria 3800, Australia.
e-mail: Robert.Faff@buseco.monash.edu.au

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.

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