Does Asset Allocation Policy Explain 40 , 90 , or 100 Percent of Performance ?

  • Roger G. Ibbotson, Paul D. Kaplan
  • Published 2000


Disagreement over the importance of asset allocation policy stems from asking different questions. We used balanced mutual fund and pension fund data to answer the three relevant questions. We found that about 90 percent of the variability in returns of a typical fund across time is explained by policy, about 40 percent of the variation of returns among… (More)


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