Momentum Investing and the Asset Allocation Decision

32 Pages Posted: 2 Jun 2005

See all articles by Karen L. Benson

Karen L. Benson

University of Queensland - Business School; Financial Research Network (FIRN)

Patrick Teodorowski

BT Financial Group

David R. Gallagher

Rozetta Institute

Multiple version iconThere are 3 versions of this paper

Date Written: February 22, 2007

Abstract

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 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.

Keywords: Tactical asset allocation, momentum

JEL Classification: G23

Suggested Citation

Benson, Karen L. and Teodorowski, Patrick and Gallagher, David R., Momentum Investing and the Asset Allocation Decision (February 22, 2007). Available at SSRN: https://ssrn.com/abstract=734003 or http://dx.doi.org/10.2139/ssrn.734003

Karen L. Benson (Contact Author)

University of Queensland - Business School ( email )

Brisbane, Queensland 4072
Australia

Financial Research Network (FIRN) ( email )

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

Patrick Teodorowski

BT Financial Group ( email )

Sydney NSW 2000
Australia

David R. Gallagher

Rozetta Institute ( email )

Sydney

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