Stability, Asymmetry and Seasonality of Fund Performance: An Analysis of Australian Multi‐sector Managed Funds
分析澳大利亚多部门信托基金的选择能力、市场择时和波动率择时绩效，并考察绩效与风险指标的稳定性、非对称性和季节性，同时调整生存偏差以评估其影响。
Using a sample of Australian Multi‐sector trusts we examine selectivity and market timing performance and extend the analysis to include the relatively new measure of volatility timing. This is of particular relevance to our data set, as high levels of volatility persistence are prevalent in Australia. In addition we consider the stability, asymmetry and seasonality of the various performance and risk measures. A survivorship adjustment procedure is also employed in order to assess the impact of survivorship on selectivity, market timing and volatility timing performance.