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Performance Benchmarking Australian Fixed Interest Funds: Some Optimal Factors, Victor Soucik, David E. Allen
Performance Benchmarking Australian Fixed Interest Funds: Some Optimal Factors, Victor Soucik, David E. Allen
Research outputs pre 2011
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 …
Some Evidence On The Performance Benchmarking Of Australian Fixed Interest Funds, David E. Allen, Victor Soucik
Some Evidence On The Performance Benchmarking Of Australian Fixed Interest Funds, David E. Allen, Victor Soucik
Research outputs pre 2011
In this paper we analyse the performance of Australian fixed interest managed funds by examining the relative effectiveness of various indices of bond performance which are combined with various measures of: interest rate fluctuations, economic fundamentals, maturity risk, default risk, and equity market returns, in an attempt to find an ‘optimum’ index. Our dataset is sourced from the Australian fund-rating agency ASSIRT. We show that a correct combination of a bond market variable, a mixture of interest rate factors and economic factors as well as a proxy for movements in the equity markets yield the optimal benchmark.