Holmes, Kathryn; Faff, Robert; Clacher, Iain - In: Applied Financial Economics 20 (2010) 4, pp. 293-301
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...