Title

Benchmarking Australian Fixed Interest Fund Performance: Finding the Optimal Factors

Document Type

Journal Article

Publisher

Wiley-Blackwell

Faculty

Business and Law

School

Accounting, Finance and Economics

RAS ID

5145

Comments

This article was originally published as: Soucik, V., & Allen, D. E. (2006). Benchmarking Australian Fixed Interest Fund Performance: Finding the Optimal Factors. Accounting and Finance, 46(5), 865-898. Original article available here

Abstract

In this paper, we analyse the performance of Australian fixed interest managed funds and assess multiple benchmarks through which such performance can be reliably measured. We examine the effectiveness of seven indices of bond performance, as well as factors impacting on fixed interest asset values and, hence, returns, including interest rate fluctuations, economic fundamentals, maturity risk, default risk and cross-market influences. We test all combinations of factors in cross-section and time series to find the optimum benchmark. The results, consistent across time, show that a correct combination of a fund-based market variable, a mixture of interest rate factors and economic factors as well as a proxy for movements in the equity markets yield the optimal benchmark.

 

Link to publisher version (DOI)

10.1111/j.1467-629x.2006.00188.x