| Publisher | Yale University Press | ||
|---|---|---|---|
| Format | 156.0KB PDF, requires Acrobat Rdr 5 | Date added | 11 Apr 1999 |
| Topics | Asset Management, Economic Modeling | ||
| Downloads | 64 | ||
Disagreement about the importance of asset allocation policy stems from differences in what is considered important. Using data on balanced mutual funds and pension funds, we explore the ability of asset allocation policy to explain variability of returns across time, variation in return across funds, and the average level of return. We find that about 90% of the variability of returns of a typical fund across time is explained by policy; about 40% of the variation of returns across funds is explained by policy; and that on average, about 100% of the return level is explained by policy return.
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