Portfolio maturity choice of Australian cash management trusts
نویسنده
چکیده
MoneyMarket Mutual Funds, known in Australia as Cash Management Trusts (CMTs), provide potential benefits for retail investors from pooling of funds and superior portfolio (maturity) management skills. The average maturity of CMTassets exhibits significant variation both cross sectionally and over time, but there is significant correlation between the asset maturities of different CMTs. These variations could reflect decisions about optimal asset maturity by CMTmanagement, given their expectations of future interest ratemovements. This paper examines (and rejects) the hypothesis that CMTmanagement has superior interest rate forecasting ability by testing whether asset maturity of CMTs provides any information about future interest rate movements. The correlation between CMT maturity decisions appears to reflect the tendency of some CMTs to adjust maturity in response to current changes in market interest rates. © 2007 Elsevier Inc. All rights reserved. JEL classification: G21
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