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Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance?

2000; Taylor & Francis; Volume: 56; Issue: 1 Linguagem: Inglês

10.2469/faj.v56.n1.2327

1938-3312

Roger G. Ibbotson, Paul D. Kaplan,

Financial Markets and Investment Strategies

Disagreement over the importance of asset allocation policy stems from asking different questions. We used balanced mutual fund and pension fund data to answer the three relevant questions. We found that about 90 percent of the variability in returns of a typical fund across time is explained by policy, about 40 percent of the variation of returns among funds is explained by policy, and on average about 100 percent of the return level is explained by the policy return level.