EconPapers    
Economics at your fingertips  
 

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
References: Add references at CitEc
Citations: View citations in EconPapers (103)

Downloads: (external link)
http://dx.doi.org/10.1086/209623 full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ucp:jnlbus:v:72:y:1999:i:4:p:429-61

Access Statistics for this article

More articles in The Journal of Business from University of Chicago Press
Bibliographic data for series maintained by Journals Division ().

 
Page updated 2025-03-22
Handle: RePEc:ucp:jnlbus:v:72:y:1999:i:4:p:429-61