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

Kathryn Holmes, Robert Faff and Iain Clacher

Applied Financial Economics, 2010, vol. 20, issue 4, 293-301

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.

Date: 2010
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DOI: 10.1080/09603100903459915

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