type="main" xml:id="acfi12017-abs-0001" <title type="main">Abstract</title> <p>Cross-region and cross-sector asset allocation decisions are one of the most fundamental issues in international equity portfolio management. Equity returns exhibit higher volatilities and correlations, and lower expected returns, in bear markets...</p>

This study represents the first empirical examination of the daily trading and portfolio configuration strategies of index and enhanced index equity funds. We document that passive funds benefit from employing less rigid rebalancing and investment strategies. During index revision periods,...

This study reviews 30 years of scholarly research published in the Australian Journal of Management (AJM) over the period 1976–2005. The study examines the productivity, influence, and contribution of management research in Australia. In the past three decades, AJM has published 406...

This study proposes methodological adjustments to the widely adopted performance benchmarking methodology of Daniel "et al". (1997) as a means of improving the precision of alpha measurement for active equity fund managers. We achieve this by considering the monthly updating of characteristic...

This study examines the "active" asset allocation decisions of Australian multisector fund managers to determine whether active fund managers engage in momentum strategies. We find evidence supporting the existence of momentum investing in "active" asset allocation strategies. This evidence...