Document Type

Conference Proceeding

Publisher

Modelling and Simulation Society of Australia and New Zealand

Faculty

Business and Public Management

School

Accounting, Finance and Business Economics

RAS ID

2260

Comments

This article was originally published as: Allen, D. E., & Soucik, V. (2003). Some evidence on the performance benchmarking of Australian fixed interest funds. Proceedings of Modelling and Simulation Society of Australia and New Zealand International Congress on Modelling and Simulation. (pp. 1221-1226). Townsville, Qld. Modelling and Simulation Society of Australia and New Zealand. Original article available here

Abstract

In this paper we analyse the performance of Australian fixed interest managed funds by examining the relative effectiveness of various indices of bond performance which are combined with various measures of: interest rate fluctuations, economic fundamentals, maturity risk, default risk, and equity market returns, in an attempt to find an ‘optimum’ index. Our dataset is sourced from the Australian fund-rating agency ASSIRT. We show that a correct combination of a bond 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.

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