Tactical asset allocation: Australian evidence

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dc.contributor.author Faff, Robert en_US
dc.contributor.author Gallagher, David en_US
dc.contributor.author Wu, Eliza en_US
dc.contributor.editor en_US
dc.date.accessioned 2010-05-28T09:54:46Z
dc.date.available 2010-05-28T09:54:46Z
dc.date.issued 2005 en_US
dc.identifier 2008006595 en_US
dc.identifier.citation Faff Robert, Gallagher David, and Wu Eliza 2005, 'Tactical asset allocation: Australian evidence', Australian Graduate School of Management, vol. 30, no. 2, pp. 261-282. en_US
dc.identifier.issn 0312-8962 en_US
dc.identifier.other C1UNSUBMIT en_US
dc.identifier.uri http://hdl.handle.net/10453/10211
dc.description.abstract This paper evaluates the tactical asset allocation (TAA) capabilities, strategies and behaviour of Australian investment managers who invest assets across multiple asset classes. Specifically, we analyse the behaviour of balanced, growth and capital-stable fund managers with regard to their asset allocation activity across defensive (cash, domestic bonds, overseas bonds) and growth (domestic equities, international equities, property) asset classes, over the period December 1989 to February 2001. Overall, our evidence suggests that active managers have been unable to deliver investors with superior returns through tactical asset allocation. While the most successful asset class, domestic equities, has been value-enhancing, international shares and domestic fixed interest have generally detracted value. Finally, across all asset classes examined, our findings suggest that asset allocation into domestic equities is the most influenced by public economic information variables, with short-term interest rates, the term structure and dividend yield all having a significant explanatory role. en_US
dc.language en_US
dc.publisher Australian Graduate School of Management en_US
dc.title Tactical asset allocation: Australian evidence en_US
dc.parent Australian Journal of Management en_US
dc.journal.volume 30 en_US
dc.journal.number 2 en_US
dc.publocation Sydney, Australia en_US
dc.identifier.startpage 261 en_US
dc.identifier.endpage 282 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 150200 en_US
dc.personcode 0000018504 en_US
dc.personcode 107326 en_US
dc.personcode 111647 en_US
dc.percentage 100 en_US
dc.classification.name Banking, Finance and Investment en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords TACTICAL ASSET ALLOCATION; MULTI-SECTOR FUNDS; STRATEGIC BENCHMARKS; PERFORMANCE ATTRIBUTION. en_US
dc.staffid 111647 en_US


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