کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5085199 1477947 2008 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Estimating the performance attributes of Australian multi-sector managed funds within a dynamic Kalman filter framework
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Estimating the performance attributes of Australian multi-sector managed funds within a dynamic Kalman filter framework
چکیده انگلیسی

This paper examines the impact of Kalman filtering as a technique for modeling the risk levels of managed funds. Using a sample of Australian Multi-sector trusts we examine selectivity and market timing performance using conventional performance models alongside Kalman filter models that allow beta to vary via a random walk. Further, we consider the stability and asymmetry of these performance measures together with a measure of volatility timing arising from a cubic model of fund performance. We find that the positive selectivity (negative market timing) that stems from the conventional models is not present with the Kalman filter model. The Kalman filter model tends to show neutral performance for both. However, both models confirm a strong tendency toward negative volatility timing.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 17, Issue 5, December 2008, Pages 998-1011
نویسندگان
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