Estimating the performance attributes of Australian multi-sector managed funds within a dynamic Kalman filter framework

International Review of Financial Analysis

Volumn 17, Issue 5, 2008, Pages 998-1011

  Holmes, Kathryn A ^a   Faff, Robert ^a  

^a NONE

Author keywords

Kalman filtering; Managed funds; Performance evaluation

Indexed keywords

EID: 54849425539     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.irfa.2008.05.001     Document Type: Article

References (39)

1. Australian Bureau of Statistics. 5655.0 Managed Funds Australia (2007)
2. Bangassa K. Performance of UK investment trusts: 1980-1994. Journal of Business Finance and Accounting 26 9&10 (1999) 1141-1168
3. Benson K., Faff R., and Nowland J. Do derivatives have a role in the risk shifting behaviour of fund managers?. Australian Journal of Management 32 (2007) 271-292
4. Black A., Fraser P., and Power D. UK unit trust performance 1980-1989: A passive time-varying approach. Journal of Banking and Finance 16 5 (1992) 1015-1033
5. Blake D., and Timmerman A. Mutual fund performance: Evidence from the UK. European Finance Review 2 (1998) 57-77
6. Bollerslev T. Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics 31 (1986) 307-327
7. Brooks R.D., Faff R.W., and McKenzie M.D. Time-varying risk of Australian Industry Portfolios: A comparison of modelling techniques. Australian Journal of Management 23 1 (1998) 1-22
8. Brown P., Keim D.B., Kleidon A.W., and Marsh T.A. Stock returns, seasonalities, and the tax-loss selling hypothesis: Analysis of the arguments and Australian evidence. Journal of Financial Economics 12 (1983) 33-56
9. Brunnermeier M.K., and Nagel S. Hedge funds and the technology bubble. Journal of Finance 59 5 (2004) 2013-2040
10. Busse J.A. Volatility timing in mutual funds: Evidence from daily returns. Review of Financial Studies 12 (1999) 1009-1041
11. Department of Innovation Industry, Science and Research. Managed funds in Australia (2008), Australian Government
12. Faff R.W., Hillier J., and Hillier D. Time varying beta risk: An analysis of alternative modelling techniques. Journal of Business Finance and Accounting 27 5 & 6 (2000)
13. Ferson W.E., and Schadt R.W. Measuring fund strategy and performance in changing economic conditions. Journal of Finance 51 2 (1996) 425-461
14. Fleming J., Kirby C., and Ostdiek B. The economic value of volatility timing. Journal of Finance 56 1 (2001) 329-352
15. Fletcher J. An examination of the selectivity and market timing performance of UK unit trusts. Journal of Business Finance and Accounting 22 (1995) 143-156
16. Fletcher J., and Forbes D.N. Performance evaluation of UK unit trusts within the stochastic discount factor framework. Journal of Financial Research 27 2 (2004) 289-306
17. Gallagher D.R., and Pinnuck M. Seasonality in fund performance: An examination of the portfolio holdings and trades of investment managers. Journal of Business Finance and Accounting 33 (2006) 1240-1266
18. Gaunt C., Gray P., and McIvor J. The impact of share price on seasonality and size anomalies in Australian equity returns. Accounting and Finance 40 (2000) 33-50
19. Harvey C.R., and Siddique A. Conditional skewness in asset pricing tests. Journal of Finance 55 (2000) 1263-1295
20. Holmes K.A., and Faff R.W. Stability, asymmetry and seasonality of fund performance: an analysis of Australian multi-sector managed funds. Journal of Business Finance and Accounting 31 3&4 (2004) 539-578
21. Investment Company Institute. 2007 Investment Company Fact Book (2007). http://www.icifactbook.org/pdf/07_fb_table48.pdf Retrieved April 29, 2008 from http://www.icifactbook.org/pdf/07_fb_table48.pdf
22. Jagannathan R., and Wang Z. The conditional CAPM and the cross section of expected returns. Journal of Finance 51 (1996) 3-53
23. Lee C., and Rahman S. Market timing, selectivity, and mutual fund performance: An empirical investigation. Journal of Business 63 2 (1990) 261-278
24. Lynch A.W., Wachter J., and Boudry W. Does Mutual Fund Performance Vary over the Business Cycle (2003). http://w4.stern.nyu.edu/finance/docs/WP/2003/pdf/wpa03005.pdf Retrieved 24 February 2005, from http://w4.stern.nyu.edu/finance/docs/WP/2003/pdf/wpa03005.pdf
25. Malkiel B. Returns from investing in equity mutual funds, 1971 to 1991. Journal of Finance 50 2 (1995) 549-572
26. Mamaysky H., Spiegel M., and Zhang H. Improved forecasting of mutual fund alphas and betas. Review of Finance 11 (2007) 359-400
27. Mamaysky H., Spiegel M., and Zhang H. Estimating the dynamics of mutual fund alphas and betas. Review of Financial Studies 21 (2008) 233-264
28. Moonis S.A., and Shah A. Testing for variation in beta in India. Journal of Emerging Market Finance 2 2 (2003)
29. Patro D.K. Measuring performance of international closed-end funds. Journal of Banking and Finance 25 (2001) 1741-1767
30. Phelps S., and Detzel L. The nonpersistence of mutual fund performance. Quarterly Journal of Business Education 36 2 (1997) 55
31. Sawicki J., and Ong F. Evaluating fund performance using conditional measures: Australian evidence. Pacific-Basin Finance Journal 8 (2000) 505-528
32. Scruggs J.T. Resolving the puzzling intertemporal relation between the market risk premium and conditional market variance: A two factor approach. Journal of Finance 53 (1998) 575-603
33. Swinkels L., and Van Der Sluis P.J. Return-based style analysis with time-varying exposures. European Journal of Finance 12 (2006) 529-552
34. Treynor J., and Mazuy F. Can mutual funds outguess the market?. Harvard Business Review 44 (1966) 347-366
35. Volkman D.A. Market volatility and perverse timing performance of mutual fund managers. Journal of Financial Research 22 4 (1999) 449-470
36. Wells C. Variable betas on the Stockholm exchange 1971-1989. Applied Financial Economics 4 (1994) 75-92
37. Wells C. The Kalman Filter in Finance (1996), Kluwer Academic Publishers, Dordrecht, Netherlands Boston, Mass
38. Yao J., and Gao J. Computer intensive time varying model approach to the systematic risk of Australian industrial stock returns. Australian Journal of Management 29 (2004) 121-146
39. Zalewska A. Evolving character of the CAPM beta - the case of the telecom industry (2004). http://www.indepen.co.uk/panda/docs/Telecom_beta.pdf Retrieved 21 February 2005, from http://www.indepen.co.uk/panda/docs/Telecom_beta.pdf