Benchmarking the performance of recommended allocations to equities, bonds, and cash by international investment houses

Mary M. Bange, Kenneth Khang and Thomas W. Miller

Journal of Empirical Finance, 2008, vol. 15, issue 3, pages 363-386

Abstract: We conduct performance tests of the recommended asset allocations made by a panel of international investment houses (the "Houses") from 1982 through 2005. We compare the returns and Sharpe Ratios from the recommended-weight portfolio against those of several benchmark portfolios and to a set of 10,000 returns and Sharpe Ratios from randomly shuffled-weight and shuffled-weight change portfolios. We find that the Houses generally fail to outperform the benchmarks. The shuffled-weight change benchmark exhibits a robust "style-preserving" property in that the average portfolio standard deviation is nearly equal to the portfolio standard deviation from the actual recommended weights.

Date: 2008

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Persistent link: http://EconPapers.repec.org/RePEc:eee:empfin:v:15:y:2008:i:3:p:363-386

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Journal of Empirical Finance is edited by R. T. Baillie, G. Bekaert, W. Ferson, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

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