Asset Allocation Dynamics and Pension Fund Performance
David Blake,
Bruce N Lehmann and
Allan Timmermann
The Journal of Business, 1999, vol. 72, issue 4, 429-61
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 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.
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:ucp:jnlbus:v:72:y:1999:i:4:p:429-61
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