Momentum investing and the asset allocation decision

Karen L. Benson*, David R. Gallagher, Patrick Teodorowski

*Corresponding author for this work

Research output: Contribution to journalArticleResearchpeer-review

9 Citations (Scopus)


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.

Original languageEnglish
Pages (from-to)571-598
Number of pages28
JournalAccounting and Finance
Issue number4
Publication statusPublished - Dec 2007
Externally publishedYes


Dive into the research topics of 'Momentum investing and the asset allocation decision'. Together they form a unique fingerprint.

Cite this