The Importance of Asset Allocation

Jahnke, William W.

doi:10.3905/joi.2000.319400

Cited by 2 publications

(2 citation statements)

References 0 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…T h e s e co n d l eve l co n s i s t s i n u s i n g t h e "performance attribution" method of Brinson and Fachler (1985) [24], which consists of isolating the effects of active management decisions, namely: tactical allocation, selection, and interaction.…”

Section: Methodsmentioning

confidence: 99%

Strategic Asset Allocation and Active Management: Evidence from Moroccan Pension Funds

Kabiri

Msiyah

Nouisser

2022

jour

View full text Add to dashboard Cite

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.

show abstract

Section: Methodsmentioning

confidence: 99%

Strategic Asset Allocation and Active Management: Evidence from Moroccan Pension Funds

Kabiri

Msiyah

Nouisser

2022

jour

View full text Add to dashboard Cite

show abstract

“…This attribution assumes implicitly that the default exposure is 100 per cent cash. Jahnke (2000) argued that it is difficult to measure the importance of asset allocation because the answer depends on many factors such as the extent to which investors engage in active asset allocation relative importance of these activities, because they fail to distinguish between the consequences of investor behaviour and the opportunity set offered by the capital markets. A methodology is applied that controls for investor behaviour and isolates the respective opportunity sets associated with asset allocation and security selection.…”

Section: Introductionmentioning

confidence: 99%

Asset allocation versus security selection: Evidence from global markets

Kritzman

Page

2002

J Asset Manag

View full text Add to dashboard Cite

He has written numerous articles for academic and professional journals and is the author of six books including The Portable Financial Analyst and Puzzles of Finance. He has a BS degree from St. John's University and an MBA with distinction from New York University. Sé bastien Page is a senior associate at State Street Associates. He focuses on the development of global asset management strategies and risk measurement tools. He holds an MSc in finance from Sherbrooke University in Canada.

show abstract

The Importance of Asset Allocation

Cited by 2 publications

References 0 publications

Strategic Asset Allocation and Active Management: Evidence from Moroccan Pension Funds

Strategic Asset Allocation and Active Management: Evidence from Moroccan Pension Funds

Asset allocation versus security selection: Evidence from global markets

Contact Info

Product

Resources

About