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Investigating performance benchmarks in the context of international trusts: Australian evidence

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  • Karen Benson
  • Robert Faff

Abstract

In the context of international funds, investigations have been made of a range of performance models including both domestic and international market index benchmarks and distinguishing selectivity and timing performance. A sample of Australian international equity trusts are examined over the period 1990 to 1999. Generally, findings confirm the widely held belief that funds are unable to time the market and that there is an inverse relationship between market timing and selectivity performance. Importantly however, it is found that the choice of index does have an impact on results, particularly at the individual fund level.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 14 (2004)
Issue (Month): 9 ()
Pages: 631-644

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Handle: RePEc:taf:apfiec:v:14:y:2004:i:9:p:631-644

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  1. Terrence Hallahan & Robert Faff, 2001. "Induced persistence or reversals in fund performance?: the effect of survivorship bias," Applied Financial Economics, Taylor & Francis Journals, vol. 11(2), pages 119-126.
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