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.
|Journal||Australian Journal of Management|
|Publication status||Published - Jun 2007|