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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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.

Randolph Hood, and Gilbert L.

Statman says that strategic asset allocation is movement along the efficient frontier, whereas tactical asset allocation involves movement of the efficient frontier. The linear correlation between monthly index return series and the actual monthly actual return series was measured at However, in response to a letter to the editor, Hood noted that the returns series were gross of management fees.

BHB did not adjust performance for risk.

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

I may never learn to do my own homework if you keep playing the role of enabler though. Here is a discussion about that: 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 of asset classes was sufficient for financial planning. A question for those who have access to old issues of the Financial Analysts Journal and might be interested: Anonymous Sep 21st, However, when you regress x or 2x on 1.

It seems to be a popular topic. Skip to main content. Be prepared with Kaplan Schweser.

Question Re: “Determinants of Portfolio Performance” Debate

In other words, if x is time series for stock B. They attributed the residual return to security selection. The results suggest that real estate, commodities, and high yield add most value to the traditional asset mix of stocks, bonds and cash.

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 brinsob returns of A are double of returns preformance B. 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.

However, the difference is still 15 basis points hundredths of a percent per quarter; the difference is one of perception, not fact. This time, after properly adjusting for the cost of running index funds, the actual returns again failed to beat index returns. I will asnwer your question but you should do your homework yourself. Beebower BHB published a study about asset allocation of 91 large pension funds measured from to Ibbotson and Kaplan examined the 10 year return of 94 US balanced mutual funds versus the corresponding indexed returns.


Any help with the question I asked in my initial post would be much appreciated. No thanks, I don’t want to increase my probability of passing.

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

Academic studies InGary P. Thanks for the response. Study for Success in 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. Deleted User Sep 24th, Bekkers, Doeswijk and Lam investigate the diversification benefits for a portfolio by distinguishing ten different investment categories simultaneously in a mean-variance analysis as well as a market portfolio approach.

Gary Brinson has expressed his general agreement with the Ibbotson- Kaplan conclusions. Deleted User Sep 24th, 3: As a result for any btinson weights the corresponding asset-allocation index would be 1. A follow-up study by Brinson, Singer, and Beebower measured lf variance of It would tell us that asset allocation determines percent of portfolio performance and that none determinxnts performance is determined by security selection.