We find that in Australia, Mid/Small-cap funds often have significantly positive net alphas and this is driven by their strong performance in down-markets. In contrast Large-cap funds often have significantly negative net alphas and this is driven by their relatively poor performance in...

I present evidence that a moving average trading strategy dominates buying and holding the underlying asset in a mean-variance sense using monthly returns of value-weighted and equal-weighted US REIT Indexes over the period January 1980 until December 2010. The abnormal returns are largely...

I present evidence that a moving average trading strategy dominates buying and holding the underlying asset in a mean-variance sense using monthly returns of value-weighted and equal-weighted US REIT Indexes over the period January 1980 until December 2010. The abnormal returns are largely...