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Momentum investing and the asset allocation decision
Author(s) -
Benson Karen L.,
Gallagher David R.,
Teodorowski Patrick
Publication year - 2007
Publication title -
accounting and finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.645
H-Index - 49
eISSN - 1467-629X
pISSN - 0810-5391
DOI - 10.1111/j.1467-629x.2007.00227.x
Subject(s) - contrarian , asset allocation , momentum (technical analysis) , financial economics , business , capital asset pricing model , asset (computer security) , finance , economics , open end fund , institutional investor , portfolio , corporate governance , computer science , computer security
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 exists in the Australian Equities, Australian Fixed Interest and Listed Property asset classes. Interestingly, balanced funds adopt contrarian strategies in the International Equities asset class. We also examine whether there is any association between a fund's market timing skill and the execution of momentum strategies. Our results show that fund managers with no market timing skill are momentum investors.