The subject of the study is to evaluate the contribution of strategic asset allocation to the variability of Moroccan pension funds performance. The aim of the paper is to identify the role of active management factors, namely tactical allocation and security selection, in generating a performance surplus compared to strategic allocation. The relevance of the study is justified by the need to identify the sources of performance creation in order to face the commitments of Moroccan pension funds and to compensate for the decline and volatility of asset returns. The article addresses, through the use of simple linear regression methods, the relative importance of strategic asset allocation in explaining the variability of the performance of Moroccan pension funds. It introduces a scientific novelty through the use of the “performance attribution” method. The conclusions of the paper confirm the main role of strategic asset allocation, which varies according to the size of the fund, the asset classes, and the risk aversion of the manager.

This paper aims to suggest a risk budgeting approach that can enhance the asset allocation process of retirement reserve funds. The approach takes into consideration the importance of incorporating risk into tactical decisions to improve fund performance. The significance of this study lies in the need to adopt a strong approach that enables asset managers to outperform strategic asset allocation while avoiding excessive risk. The article proposes a methodology for measuring and allocating market risk in investment decisions, through the computation and decomposition of Value at Risk and Expected Shortfall. Additionally, it introduces a novel scientific method of using Expected Shortfall and its decomposition into marginal units to guide shortterm tactical decision-making.