Tactical Asset Allocation: Australian Evidence

Robert Faff, David Gallagher and Eliza Wu

Australian Journal of Management, 2005, vol. 30, issue 2, 261-282

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.

Keywords: TACTICAL ASSET ALLOCATION; MULTI-SECTOR FUNDS; STRATEGIC BENCHMARKS; PERFORMANCE ATTRIBUTION (search for similar items in EconPapers)
Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/031289620503000205 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:30:y:2005:i:2:p:261-282

DOI: 10.1177/031289620503000205

Access Statistics for this article

More articles in Australian Journal of Management from Australian School of Business
Bibliographic data for series maintained by SAGE Publications ().