Sector, Style, Region: Explaining Stock Allocation Performance

Posted: 11 Jun 2007


The importance of asset allocation policy in stock/bond portfolios is widely recognized. Drawing a parallel for equity-only portfolios, this study analyzed the importance of allocation by economic sector and by size and style in purely U.S. stock portfolios and the importance of regional allocation policy in international stock portfolios. The study found that allocation policy explains one-third to nearly three-quarters of among-fund variation in returns, nearly 90 percent of across-time variation, and more than 100 percent of the level of stock portfolio returns.

Keywords: Portfolio Management: Asset Allocation, Equity Strategies

Suggested Citation

Vardharaj, Raman and Fabozzi, Frank J., Sector, Style, Region: Explaining Stock Allocation Performance. Financial Analysts Journal, Vol. 63, No. 3, pp. 59-70, 2007, Available at SSRN:

Raman Vardharaj

RS Investments ( email )

1 Bush Street
9th Floor
San Francisco, CA 94104
United States
917-289-2914 (Phone)

Frank J. Fabozzi (Contact Author)

EDHEC Business School ( email )

215 598-8924 (Phone)

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