Document Type
Conference Proceeding
Publisher
Modelling and Simulation Society of Australia and New Zealand
Faculty
Faculty of Business and Public Management
School
School of Accounting, Finance and Business Economics
RAS ID
2260
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.
Access Rights
free_to_read
Comments
This is an Author's Accepted Manuscript of: 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. Available here