Title: Asset Allocation Dynamics and Pension Fund Performance
Abstract:Using a data set on more than 300 U.K. pension funds' asset holdings, this article provides a systematic investigation of the performance of managed portfolios across multiple asset classes. We find e...Using a data set on more than 300 U.K. pension funds' asset holdings, this article provides a systematic investigation of the performance of managed portfolios across multiple asset classes. We find evidence of slow mean reversion in the funds' portfolio weights toward a common, time-varying strategic asset allocation. We also find surprisingly little cross-sectional variation in the average ex post returns arising from the strategic-asset-allocation, market-timing, and security-selection decisions of the fund managers. Strategic asset allocation accounts for most of the time-series variation in portfolio returns, while market timing and asset selection appear to have been far less important. Copyright 1999 by University of Chicago Press.Read More
Publication Year: 1999
Publication Date: 1999-10-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 363
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