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Analysing the performance of managed funds using the wavelet multiscaling method

✍ Scribed by Francis In; Sangbae Kim; Vijaya Marisetty; Robert Faff

Book ID
106516258
Publisher
Springer US
Year
2007
Tongue
English
Weight
292 KB
Volume
31
Category
Article
ISSN
0924-865X

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Analysing the performance of managed fun
Analysing the performance of managed funds using the wavelet multiscaling method
✍ Francis In; Sangbae Kim; Vijaya Marisetty; Robert Faff πŸ“‚ Article πŸ“… 2007 πŸ› Springer US 🌐 English βš– 292 KB

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