文章基本信息

标题：Further evidence on the approximation of confidence intervals for Sharpe style weights:the case of Australian listed managed funds
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作者：Kok Fai Phoon ; John Watson ; Jayasinghe Wickramanayake 等
期刊名称：Investment Management & Financial Innovations
印刷版ISSN：1810-4967
电子版ISSN：1812-9358
出版年度：2008
卷号：5
期号：2
页码：57-72
语种：English
出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：The rapid expansion in assets managed by the Australian managed fund industry has resulted in it becoming a major sector of the financial system,second only to that of the banking industry.With more than A$550 billion invested in the industry investors should be concerned with the lack of reliable information available in regard to equity style management.In particular investors should be concerned with the probable mismatch between stated objectives and the actual objectives pursued by fund managers.In this study,we apply return-based style analysis(Sharpe,1988,1992)to investigate the style and asset allocation strategies of 50 listed managed funds.Using monthly data we investigate manager performance on the basis of the information ratio and adopt a two-step approach following Lobosco and DiBartolomeo(1997)to generate confidence intervals for each of the estimated style weights.A significant contribution made by this paper is that in contrast to Lobosco and DiBartolomeo we initially identified asset classes(on the basis of low correlations and different risk-return measures)and then carried out return based style analysis thus negating the problem of spurious regression.Our findings confer with those of Lobosco and DiBartolomeo and thus suggest that the recommended daily data are not required for constructing reliable style weights.This paper provides further evidence that Sharpe style weights in conjunction with confidence intervals provide an insight into listed managed funds.
关键词：managed funds;Return Based Style Analysis;asset allocation;confidence intervals.