Return Targets and Percentile Fans

Posted: 16 Feb 2010

See all articles by Martin L. Leibowitz

Martin L. Leibowitz

Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF)

Anthony Bova

Morgan Stanley

Date Written: February 16, 2010


This article presents a highly intuitive approach for visualizing return distributions for a basic form of cash/equity allocations. This “percentile fan” framework can help clarify some of the key risk-return trade-offs in intuitive ways for a wide set of asset owners. In particular, percentile fans can help investors express their portfolio objectives in terms of return targets or shortfall limits over one or more horizons. For some investors, these intuitive goals, especially when depicted in a visual context, can feel like a more natural approach than the standard mean-variance utility framework.

Keywords: Investment Theory, CAPM, APT, and Other Pricing Theories, Portfolio Management, Asset Allocation, Risk Measurement and Management, Multi-Asset Portfolios

Suggested Citation

Leibowitz, Martin L. and Bova, Anthony, Return Targets and Percentile Fans (February 16, 2010). Financial Analysts Journal, Vol. 66, No. 1, 2010, Available at SSRN:

Martin L. Leibowitz (Contact Author)

Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF) ( email )

730 Third Avenue
New York, NY 10017-3206
United States

Anthony Bova

Morgan Stanley

1585 Broadway
New York, NY 10036
United States

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