Publication Type
Journal Article
Version
publishedVersion
Publication Date
9-2010
Abstract
The objective of this paper is to assess whether Australian multi-sector managed funds are misclassified, and then, having found this to be the case, determine if this misclassification has any impact on fund performance. We adopt a strong form of returns based style analysis to investigate a monthly sample of Australian multi-sector funds over the five-year sample period 2003:04-2008:03. The evidence provided demonstrates that insufficient attention has been paid as to whether fund managers are able to keep within their tactical asset allocation ranges and presents that misclassification exist for Australian multi-sector managed funds but that the effect on fund performance is not significant. The paper adds to the literature by demonstrating that no association exists between misclassification and fund performance.
Keywords
Managed Funds, Return Based Style Analysis, Asset Allocation, Misclassification, Confidence Intervals
Discipline
Corporate Finance | Portfolio and Security Analysis
Research Areas
Finance
Publication
Corporate Ownership and Control
Volume
8
First Page
600
Last Page
623
ISSN
1727-9232
Identifier
10.22495/cocv8i1c6p3
Publisher
Virtus
Citation
Watson, John R; Allen, N.; PHOON, Kok Fai; and Wickramanayake, J..
Investing into the abyss: The continued misclassification of multi-sector managed funds. (2010). Corporate Ownership and Control. 8, 600-623.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/2964
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.22495/cocv8i1c6p3