Analysing the performance of managed funds using the wavelet multiscaling method |
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| Authors: | Francis In Sangbae Kim Vijaya Marisetty Robert Faff |
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| Institution: | (1) Department of Accounting and Finance, Monash University, Victoria, 3800, Australia;(2) School of Business Administration, Kyungpook National University, 1370 Sankyuk-dong, Puk-ku, Daegu, 702-701, Korea |
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| Abstract: | We propose a new approach for investigating the performance of managed funds using wavelet analysis and apply it to an Australian
dataset. This method, applied to a multihorizon Sharpe ratio, shows that the wavelet variance at the short scale is higher
than that of the longer scale, implying that an investor with a short investment horizon has to respond to every fluctuation
in the realized returns, while for an investor with a much longer horizon, the long-run risk associated with unknown expected
returns is not as important as the short-run risk. Using multihorizon Sharpe ratios of six groups of managed funds, we find
that none of the fund groups are dominant over all time scales.
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| Keywords: | Performance measure Wavelet analysis Sharpe ratio Australian managed funds |
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