Style analysis and dominant index timing: an application to Australian multi-sector managed funds

Abstract

Using a returns-based style analysis approach, we develop a dominant timing indicator to measure each fund's ability to take advantage of movements in their dominant passive index. We apply this to a sample of Australian multi-sector funds over the period 1990 to 2005. We find evidence that the dominant timing metric presents a more positive picture of fund timing ability in comparison to traditional timing measures; however, the majority of funds are still unable to time their dominant index effectively.

Diversification Opportunities through Fixed-income Managed Funds in Eastern Europe

“…Journal of Emerging Market Finance, 12, 1 (2013): where δ i measures the response of each fund to volatility phenomena. Holmes et al (2010) argue that ignoring fund movements due to market volatility, we underestimate the ability of fund managers to time the market.…”