Strategic Asset Allocation and Portfolio Performance

Journal of Management Research, Vol. 1, No. 2, 2011

10 Pages Posted: 19 Oct 2012

See all articles by Lujer Santacruz

Lujer Santacruz

University of Southern Queensland - Faculty of Business Education Law and Arts

Date Written: 2011

Abstract

This paper examines the impact of strategic asset allocation on total returns of investment portfolios. It aims to confirm the results of previous studies using US investment data that found strategic asset allocation dominating the other investment decisions namely market timing and security selection. Using data from Australian managed funds, strategic asset allocation is found to account for most of the total returns in terms of magnitude and around 88% of the variability in total portfolio returns. Suggestions are made to expand the scope of the study to be able to generate more conclusive results.

Keywords: asset allocation, performance attribution, financial planning

JEL Classification: D14, D81, G11

Suggested Citation

Santacruz, Lujer, Strategic Asset Allocation and Portfolio Performance (2011). Journal of Management Research, Vol. 1, No. 2, 2011, Available at SSRN: https://ssrn.com/abstract=2163899

Lujer Santacruz (Contact Author)

University of Southern Queensland - Faculty of Business Education Law and Arts ( email )

West Street
Toowoomba 4350, Queensland
Australia
617 46311574 (Phone)
617 46315594 (Fax)

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