by Gary P. Brinson, Brian D. Singer and Gilbert L. Beebower. Determinants of Portfolio. Performance II: An Update. This article presents a framework for. 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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For the main asset categories equities, real estate, non-government bonds and government bonds they extend the period to Thanks for the response. BHB did not adjust performance for risk. Jahnke’s main criticism, still undisputed, was that BHB’s use of quarterly data dampens the impact of compounding slight portfolio disparities over time, relative to the benchmark.

The primary goal of a strategic asset allocation is to create an asset perfirmance that seeks to provide the optimal brjnson between expected risk and return for a long-term investment horizon.

However, the difference is still 15 basis points hundredths of a percent per quarter; the difference is one of perception, not fact.

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

These categories of investments are also known as asset classes. Any help with the question I asked in my initial post would be much appreciated.

dwterminants This page was last edited on 26 Octoberat BrinsonBrian D. 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.

Diversifying your investments may reduce your portfolio’s volatility. There are several types of asset allocation strategies based on investment goals, risk tolerance, time frames and diversification. In other words, if x is time series for stock B. The reward for the average investor is a compounded return of 3. Although risk is reduced as long as correlations are not perfect, it is typically forecast wholly or in part based on statistical relationships like correlation and variance that existed over some past period.


Gary Brinson has expressed his general agreement with the Ibbotson- Kaplan conclusions. 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.

Be prepared with Kaplan Schweser. In fact, low cost was a more reliable indicator of performance. Ibbotson and Kaplan examined the 10 year return of 94 US balanced mutual funds versus the corresponding indexed returns. In the inflationary period from tothe compounded real return of the GMP is 2.

Asset allocation – Wikipedia

The rest of the funds dropped to the third or fourth quartile. Retrieved 2 August A question for those who have access to old issues of the Financial Analysts Journal and might be interested: Swinkels, Strategic Asset Allocation: An asset class is a group of economic resources sharing similar characteristics, such as riskiness and return. There are many types of assets that may or may not be included in an asset allocation strategy.

Bogle noted that an examination of five-year performance data of large-cap blend funds revealed that the lowest cost quartile funds had the best performance, and the highest cost quartile funds had the worst performance. Use dmy dates from June Academic studies InGary P. The linear correlation between monthly index return series and the actual monthly actual return series was measured at From Wikipedia, the free encyclopedia.

Expectations for return are often derived in the same way. A follow-up study by BrinsonSinger, and Beebower measured a variance of One’s true risk tolerance can be hard to gauge until having experienced a real bear market with money invested in the market.


This includes many types such as “balanced fund” and so on.

Question Re: “Determinants of Portfolio Performance” Debate

The results suggest that real estate, commodities, and high yield add most value to the traditional asset mix of stocks, bonds and cash. However, in response to a letter to the editor, Hood noted that the returns series were gross of management fees.

As a result for any asset weights the corresponding asset-allocation index would be 1. Skip to main content. Also, a small number of asset classes was sufficient for financial planning.

Asset allocation

Deleted User Sep 24th, 3: 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 portfoolio B. The right mix is critical because it doesn’t matter as much how one particular investment performs, but how all of your investments perform together.

The results suggest that real estate, commodities, and high yield add most value to the traditional asset mix of stocks, bonds, and cash.

The most common forms of asset allocation are: Here is a discussion about that: Simply buying stocks without regard of a possible bear market can result in panic selling later.

Such a strategy contrasts with an approach that focuses on individual assets. Randolph Hood, and Gilbert L.