Document Type



Edith Cowan University

Place of Publication

Joondalup, Western Australia


Faculty of Business and Public Management


School of Finance and Business Economics


Allen, D., & Soucik, V. (2003). Performance benchmarking Australian fixed interest funds : some optimal factors. Joondalup, Australia: Edith Cowan University.


In this paper we analyse the performance of fixed interest managed funds. We examine five measurement models across three risk-free proxies, nine benchmarks (covering conditional and unconditional as well as single and multi factor definitions) over two independent periods in an effort to identify (in a consistent setting) the most accurate and least biased methodology. The use of an Australian dataset, sourced from the Australian fund-rating agency ASSIRT means that we can provide some independent results from US studies of these. There is little prior work on Australian fixed-interest managed funds. We examine three risk-free proxies, six benchmark classes encompassing twenty-one potential factors, across five models and two independent time frames. The task is complicated by two issues – an acute lack of Australian data (demanding additional bootstrap simulations and bridging tests with the US markets) and the need for a two-pass (time-series and cross-sectional) analysis, arising from the different information content benchmarks carry in these two dimensions. The results, consistent across time, show that a correct combination of a bond market variable, a mixture of interest rate factors and economic factors as well as the proxy for movements in the equity markets yield the optimal benchmark.

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