The Contribution of Asset Allocation Policy to Portfolio Performance

Financial Markets and Portfolio Management, Vol. 16, No. 2, pp. 219-233, 2002

Posted: 14 Sep 2005

Abstract

It is well known that asset allocation policy is the major determinant of fund performance. We apply the technique introduced by Ibbotson and Kaplan (2000) to German and Swiss mutual fund data. Our results show that more than 80 percent of the variability in returns of a typical fund over time is explained by asset allocation policy, roughly 60 percent of the variation among funds is explained by policy, and more than 130 percent of the return level is explained, on average, by the policy return level.

JEL Classification: G0, G1

Suggested Citation

Drobetz, Wolfgang, The Contribution of Asset Allocation Policy to Portfolio Performance. Financial Markets and Portfolio Management, Vol. 16, No. 2, pp. 219-233, 2002. Available at SSRN: https://ssrn.com/abstract=798786

Wolfgang Drobetz (Contact Author)

University of Hamburg ( email )

Moorweidenstrasse 18
Hamburg, 20148
Germany

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