Perspectives: The Importance of Asset Allocation

Posted: 16 Apr 2010

See all articles by Roger G. Ibbotson

Roger G. Ibbotson

Yale School of Management; Zebra Capital Management, LLC

Date Written: April 16, 2010

Abstract

This article discusses the impact on performance of the long-term asset allocation policy relative to the impact of active management. Most of the variation in time-series returns for a typical fund comes from general market movement. The remaining variation comes about equally from asset allocation policy and active management.

Keywords: Performance Measurement and Evaluation, Performance Attribution, Return Measures (Arithmetic, Geometric, Time Weighted, Dollar Weighted), Portfolio Management, Asset Allocation

Suggested Citation

Ibbotson, Roger G., Perspectives: The Importance of Asset Allocation (April 16, 2010). Financial Analysts Journal, Vol. 66, No. 2, 2010, Available at SSRN: https://ssrn.com/abstract=1591170

Roger G. Ibbotson (Contact Author)

Yale School of Management ( email )

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P.O. Box 208200
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203-432-6021 (Phone)
203-432-6970 (Fax)

Zebra Capital Management, LLC ( email )

2187 Atlantic Street
Stamford, CT 06902
United States
203 701 5900 (Phone)

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