Time-Changing Alpha? The Case of Australian International Mutual funds

Richard Heaney, T. Hallahan, T. Josev, H. Mitchell

Research output: Contribution to journalArticlepeer-review

5 Citations (Scopus)
269 Downloads (Pure)


Tests for active management inevitably focus on long periods. Yet, implicit in these tests is the assumption that active management generates a stable excess return. We argue that this assumption is not appropriate for active management where the emphasis is on identifying profitable trading strategies. Consistent with this conjecture, we find evidence of time-changing alpha using a sample of Australian international funds over the period from July 1995 to January 2005. Regardless, few international funds show consistent positive excess returns over the period.
Original languageEnglish
Pages (from-to)95-112
JournalAustralian Journal of Management
Issue number1
Publication statusPublished - Jun 2007


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