Benchmarking the performance of recommended allocations to equities, bonds, and cash by international investment houses
We conduct performance tests of the recommended asset allocations made by a panel of international investment houses (the "Houses") from 1982 through 2005. We compare the returns and Sharpe Ratios from the recommended-weight portfolio against those of several benchmark portfolios and to a set of 10,000 returns and Sharpe Ratios from randomly shuffled-weight and shuffled-weight change portfolios. We find that the Houses generally fail to outperform the benchmarks. The shuffled-weight change benchmark exhibits a robust "style-preserving" property in that the average portfolio standard deviation is nearly equal to the portfolio standard deviation from the actual recommended weights.
Year of publication: |
2008
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Authors: | Bange, Mary M. ; Khang, Kenneth ; Miller Jr., Thomas W. |
Published in: |
Journal of Empirical Finance. - Elsevier, ISSN 0927-5398. - Vol. 15.2008, 3, p. 363-386
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Publisher: |
Elsevier |
Saved in:
Online Resource
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