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  • Market Timing, Selectivity and Alpha Generation: evidence from Australian Equity Superannuation Funds

    Author(s)
    E. Drew, Michael
    Veeraraghavan, Madhu
    Wilson, Vanessa
    Griffith University Author(s)
    Drew, Michael E.
    Veeraraghavan, Madhu
    Year published
    2005
    Metadata
    Show full item record
    Abstract
    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 ...
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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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    Journal Title
    Investment Management and Financial Innovations
    Volume
    2005
    Issue
    2
    Publisher URI
    https://businessperspectives.org/index.php/journals/investment-management-and-financial-innovations/issue-59/market-timing-selectivity-and-alpha-generation-evidence-from-australian-equity-superannuation-funds
    Copyright Statement
    Self-archiving of the author-manuscript version is not yet supported by this journal. Please refer to the journal link for access to the definitive, published version or contact the author[s] for more information.
    Subject
    Banking, Finance and Investment not elsewhere classified
    Banking, Finance and Investment
    Publication URI
    http://hdl.handle.net/10072/28911
    Collection
    • Journal articles

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