Market Timing, Selectivity And Alpha Generation: Evidence From Australian Equity Superannuation Funds

Drew, Michael, Veeraraghavan, Madhu, & Wilson, Vanessa (2005) Market Timing, Selectivity And Alpha Generation: Evidence From Australian Equity Superannuation Funds. Investment Management And Financial Innovations, 2005(2), pp. 111-127.

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In this performance evaluation study, two questions are addressed. First, do active fund managers possess macro and micro forecasting skills that deliver superior risk-adjusted returns? Second, what is the nature of market timing/stock selectivity trade off in the generation of alpha? The answers from this study are as follows: as an industry, managers delivered inferior returns for superannuation investors for the period 1991 through 2000. The study provides little evidence that the Australian funds management industry holds sufficient macro and/or micro forecasting abilities to generate positive alpha. While previous research has found that inferior market timing decisions are compensated for by superior stock selection skills, this study finds no substantive inverse relationship between timing and selectivity.

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ID Code: 22902
Item Type: Journal Article
Refereed: Yes
Keywords: Superannuation Funds, Australia
ISSN: 1810-4967
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) > Economic History (140203)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Deposited On: 17 Jun 2009 13:28
Last Modified: 29 Feb 2012 13:13

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