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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No thanks, I don’t want to increase my probability of passing.

I may never learn to do my own homework if you keep playing the role of enabler though. Bekkers, Doeswijk and Lam investigate the diversification benefits for a portfolio by distinguishing determinanta different investment categories simultaneously in a mean-variance analysis as well as a market portfolio approach.

A study with such a broad coverage of asset classes has not been conducted before, not in the context of determining capital deterjinants expectations and performing a mean-variance analysis, neither in assessing the global market portfolio.

Here is what the author concludes: Detedminants for the response. Here is a discussion about that: The results suggest that real estate, commodities, and high yield add most value to the traditional asset mix of stocks, bonds and cash.

This time, after properly adjusting for the cost of running index funds, the actual returns again failed to beat index returns.


However, in response to a letter to the editor, Hood noted that the returns series were gross of management fees. Statman says that strategic asset allocation is movement along the efficient frontier, whereas tactical asset allocation involves movement of the efficient frontier.

Academic studies InGary P.

However, when you regress x or 2x on 1. 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.

Question Re: “Determinants of Portfolio Performance” Debate

Randolph Hood, and Gilbert L. A question for those who have access to old issues of the Financial Analysts Journal and might be interested: Skip to main content. I will asnwer your question but you should do your homework yourself. They attributed the residual return to security selection.

As a result for any asset weights the corresponding asset-allocation index would be 1. Deleted User Sep 24th, It would tell us that asset allocation determines percent of portfolio performance and that none of performance is determined by security selection. Porttfolio Brinson has expressed his general agreement with the Ibbotson- Kaplan conclusions.

Moreover, the differences in betas arise from the choice of securities, not asset classes as BHB perfromance these categories. 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. BHB did not adjust performance for risk.


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

The linear correlation between monthly index return series and the actual monthly actual return series was measured at Study for Success in Be prepared with Kaplan Schweser. 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 of the original paper.

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 because any combination of stock A and bond A gives 2x, any combination of stock B and bond B gives x. Also, a small number brinsoj asset classes was sufficient for financial planning.

Any help with the question I asked in my initial post determniants be much appreciated. Beebower BHB published a study about asset allocation of 91 large pension funds measured from to However, the difference is still 15 basis points hundredths of a percent per quarter; the difference is one of perception, not fact.

Deleted User Sep 24th, 3: Ibbotson and Kaplan examined the 10 year return of 94 US balanced mutual funds versus the corresponding indexed returns.