Tactical asset allocation: Australian evidence

Faff, Robert, Gallagher, David R. and Wu, Eliza (2005) Tactical asset allocation: Australian evidence. Australian Journal of Management, 30 2: 261-282. doi:10.1177/031289620503000205

Author Faff, Robert
Gallagher, David R.
Wu, Eliza
Title Tactical asset allocation: Australian evidence
Journal name Australian Journal of Management   Check publisher's open access policy
ISSN 1327-2020
Publication date 2005-12
Sub-type Article (original research)
DOI 10.1177/031289620503000205
Volume 30
Issue 2
Start page 261
End page 282
Total pages 22
Place of publication London, United Kingdom
Publisher Sage Publications
Language eng
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.
Keyword Tactical asset allocation
Multi-sector funds
Strategic benchmarks
Performance attribution
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Non-UQ

Document type: Journal Article
Sub-type: Article (original research)
Collection: UQ Business School Publications
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Created: Tue, 08 Mar 2011, 12:10:59 EST by Karen Morgan on behalf of UQ Business School