Return-based Style Analysis in Australian Funds

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.

Determinant Analysis of Hedging Policy (Study on Non-Financial Company)

“…Then there will be transaction exposures in the company and face the risk of exchange rate fluctuations, so companies that have a large size will be more likely to do risk management without hedging to protect their companies In hypothesis four (4), namely cash flow which has a negative and significant effect on the use of derivative instruments as hedging decision making "is proven. The results of this study have confirmed research conducted by Ahmad [10], Paranita [34] and Nguyen and Faff [8] that cash flow has a negative effect on hedging. The results of this study indicate that the higher the company's cash flow will further reduce the possibility of the company to hedge because of the company's adequate cash flow conditions.…”

“…This result is supported by Andison's research [4], his research on manufacturing companies in the 2013-2015 period listed on the Indonesia Stock Exchange, proves that liquidity has a negative and significant effect on hedging. Whereas research conducted by Putro [3]; Nguyen and Faff [8], results that liquidity has a positive effect on hedging decisions.…”

“…The higher the leverage charged by a company, the higher the hedging measures taken to reduce the impact of bad risk, because the debt used is greater than the quantity of capital a company will pose a bankruptcy risk, with greater risk the company needs to cope with hedging. In the research of Nguyen and Faff [8], Guniarti, Fay [14], and Paranita [34] get the appropriate results, namely leverage influences the use of foreign exchange derivative instruments.…”

Fund Family Tournament and Performance Consequences: Evidence from the UK fund industry

“…Underperforming funds may therefore take more risks to bet on better performance given the disproportionate response from cash flows to previous fund performance. Underperforming funds may also alter the level of portfolio risk before the reporting date to manipulate their performance record Goetzmann et al, 2007;Lakonishok et al, 1991), or to conduct asset allocation strategies to promote certain investment style (Faff et al, 2012). On the other hand, funds may use risk shifting to indicate active trading or superior stock selection ability, which may not necessarily indent investors' benefits Kacperczyk et al (2005).…”