Since Fama's Efficient Market Hypothesis (EMH), numerous authors have argued that it is impossible to constantly beat the market. The best an investor can do is buy and hold 'the market' through a market index. Taking into account the important role of market indices as benchmarks against which...

This article extends the research on the improvements to the efficient portfolio frontier in globally diversified portfolios. We examine efficient frontiers of regional equity portfolios from developed and undeveloped countries. We show that a globally diversified portfolio has higher reward...

Using a returns-based style analysis approach, we develop a dominant timing indicator to measure each fund's ability to take advantage of movements in their dominant passive index. We apply this to a sample of Australian multi-sector funds over the period 1990 to 2005. We find evidence that the...