Are benchmark asset allocations for Australian private investors optimal?

Article


Santacruz, Lujer and Phillips, Peter J.. 2009. "Are benchmark asset allocations for Australian private investors optimal?" The Journal of Wealth Management. 12 (2), pp. 60-70. https://doi.org/10.3905/JWM.2009.12.2.060
Article Title

Are benchmark asset allocations for Australian private investors optimal?

ERA Journal ID19140
Article CategoryArticle
AuthorsSantacruz, Lujer (Author) and Phillips, Peter J. (Author)
Journal TitleThe Journal of Wealth Management
Journal Citation12 (2), pp. 60-70
Number of Pages11
Year2009
Place of PublicationNew York, NY. United States
ISSN1520-4154
1534-7524
Digital Object Identifier (DOI)https://doi.org/10.3905/JWM.2009.12.2.060
Web Address (URL)http://www.iijournals.com/doi/abs/10.3905/JWM.2009.12.2.060
Abstract

In this article we examine whether the benchmark asset allocations recommended by financial planning groups for Australian private investors are optimal when measured against the mean-variance criterion of Modern Portfolio Theory. Using historical data for the relevant indices, the mean-variance properties of the various asset classes are determined. Portfolios containing the various asset classes are formed according to the allocations or weightings recommended by financial planning groups. The return-risk characteristics of the portfolios formed on the basis of the recommended asset class allocations are determined and a simple method of iso-risk maximum return calculation using the Excel Solver command is utilised to determine whether portfolios could be formed that are characterised by the same levels of risk but higher levels of return. These are ‘optimal portfolios’ that yield the maximum return for a given level of risk. Applying this methodology, the portfolios resulting from the financial planning groups’ benchmark asset allocations are found to be significantly suboptimal. On each occasion, a better portfolio (yielding a higher expected return for the same risk) could be found by adjusting the allocations.

Keywordsasset allocation; investments; portfolio management; financial planning
ANZSRC Field of Research 2020350208. Investment and risk management
380203. Economic models and forecasting
380107. Financial economics
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Byline AffiliationsSchool of Accounting, Economics and Finance
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