Determinants of portfolio performance. Brinson, Gary P; Hood, L Randolph; Beebower, Gilbert L. Financial Analysts Journal; Jan/Feb ; 51, 1; ABI/ INFORM. This study examines the total return of investment portfolios composed of mutual The results of Brinson, Hood and Beebower () and Brinson, Singer and. results of Brinson, Hood and Beebower () and Brinson, Singer and Beebower the variation in total portfolio return, and that tactical timing decisions and.

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It seems to be a popular topic.

However, the difference is still 15 basis points hundredths of a percent per quarter; the difference is one of perception, not fact. A question for those who have access to old issues of the Financial Analysts Journal and might be interested: Now if manager A invests in stock A and Bond A, while manager B invests in stock B and bond B, asset allocation has nothing to do with returns pkrtfolio any combination of bginson A and bond A gives 2x, any combination of stock B and bond B gives x.

Deleted User Sep 24th, 3: Also, a small number of asset classes was sufficient for financial planning. Here is a discussion about that: The linear correlation between monthly index return series and the actual monthly actual return series was measured at Beebower BHB published a study about asset allocation of 91 large pension funds measured from to I may never learn to do my own homework if you keep playing the role of enabler though.


No thanks, I don’t want to increase my probability of passing. Now the example considered stock A with returns for each period equal to those of bond A, stock B with returns for each period equal to those of bond B and returns of A are double of returns of B.

It would tell us that asset allocation determines percent of portfolio performance and that none of performance is determined by security selection. However, when you regress x or 2x on 1. Gary Brinson has expressed his general agreement with the Ibbotson- Kaplan conclusions.

In other words, if x is time series for stock B. As a result for any asset weights the determniants asset-allocation index would be 1.

Thanks for the response. A follow-up study by Brinson, Singer, and Beebower measured a variance of Skip to main content. Any help with the question I asked in my initial post would be much appreciated.

Anonymous Sep 21st, I will asnwer your question but you should do your homework yourself. Academic studies InGary P.

Question Re: “Determinants of Portfolio Performance” Debate

Statman says that strategic asset allocation is movement along the efficient frontier, whereas tactical asset allocation involves movement of the efficient frontier.

BHB did not adjust performance for risk. Bekkers, Doeswijk and Lam investigate the diversification benefits for a portfolio by distinguishing ten different investment categories simultaneously perforamnce a mean-variance analysis as well as a market portfolio approach. Study for Success in Randolph Hood, and Gilbert L. Here is what the author concludes: Moreover, the differences in betas arise from the choice of securities, not asset classes as BHB defined these categories.

Question Re: “Determinants of Portfolio Performance” Debate | AnalystForum

This time, after properly adjusting for the cost of running index funds, the actual returns portfklio failed to beat index returns. Hood notes in his review of the material over 20 years, however, that explaining performance over time is possible with the BHB approach but was not the focus portfolik the original paper. The results suggest that real estate, commodities, and high yield add most value to the traditional asset mix of stocks, bonds and cash.

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Ibbotson and Kaplan examined the 10 year return of 94 US balanced mutual funds versus the corresponding indexed returns.

They attributed the residual return to security selection. Be prepared with Kaplan Schweser. A study with such a broad coverage of asset classes has not been conducted before, not in the context of determining capital market determnants and performing a mean-variance analysis, neither in assessing the global market portfolio.

However, in response to a letter to the editor, Hood noted that the returns series were gross of management fees. We may be tempted to conclude that the different performances should be attributed to asset allocation, because the managers have different betas, but this conclusion would be false. Portfoio User Sep 24th,