This study examines the active asset allocation decisions of Australian multi-sector 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 exists...

We examine the relation of active equity fund managers' location proximity to a stock's headquarters and fund managers' stock selection skill and investment behaviour using a representative sample of Australian institutional equity funds. Contrary to the findings of much international research,...

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 performance of Australian investment management organisations with direct reference to their specific characteristics and strategies employed. Using a unique information source, performance is evaluated for actively managed institutional balanced funds, Australian share...

We propose a portfolio holdings-based method for evaluating global equity funds that decomposes excess returns versus benchmark indices into contributions from six equity and three currency ‘style factors', and alpha. The method is used to characterize sources of performance for institutional...

We examine the informativeness of quarterly disclosed portfolio holdings across four institutional investor types: hedge funds, mutual funds, pension funds, and private banking firms. Overweight positions outperform underweight positions only for hedge funds. By decomposing holdings and stock...

We model the tax drag from active funds management based on reported monthly holdings of active equity funds. Tax drag erodes 65% of the 0.74% excess return in Broad Market funds, but only 21% of the 1.80% excess return in Small-Cap funds for Australian superannuation (pension) fund investors....

active equity portfolios. Active management is dependent on the success of two importantcomponents in the investment process stock selection skill and portfolio management. Ourstudy documents a positive relationship between fund performance and portfolio concentration. The relationship is...

This study examines the relationship between investment performance and concentration inactive equity portfolios. Active management is dependent on the success of two importantcomponents in the investment process stock selection skill and portfolio management. Ourstudy documents a positive...

The recent paper by Goetzmann et al. (2002) suggests that fund managers subject to aperformance review have an adverse incentive to engage in portfolio strategies that have the unfortunate attribute that they can expose the fund investor to significant downside risk. Weisman(2002) uses the term...