Strategic asset allocation and portfolio performance

Paper

Santacruz, Lujer. 2012. "Strategic asset allocation and portfolio performance." 18th International Business Research Conference. Las Vegas, NV. United States 28 - 30 Oct 2012 Australia.
Paper/Presentation Title

Strategic asset allocation and portfolio performance

Presentation TypePaper
Authors
AuthorSantacruz, Lujer
Journal or Proceedings TitleProceedings of the 18th International Business Research Conference
Journal of Management Research
Number of Pages10
Year2012
Place of PublicationAustralia
ISSN0972-5814
ISBN9781922069122
Web Address (URL) of Paperhttps://papers.ssrn.com/sol3/papers.cfm?abstract_id=2163899
Conference/Event18th International Business Research Conference
Event Details
18th International Business Research Conference
Parent
International Business Research Conference (IBR)
Delivery
In person
Event Date
28 to end of 30 Oct 2012
Event Location
Las Vegas, NV. United States
Abstract

This paper examines the impact of strategic asset allocation on total returns of investment portfolios. It aims to confirm the results of previous studies using US investment data that found strategic asset allocation dominating the other investment decisions namely market timing and security selection. Using data from Australian managed funds, strategic asset allocation is found to account for most of the total returns in terms of magnitude and around 88% of the variability in total portfolio returns. Suggestions are made to expand the scope of the study to be able to generate more conclusive results.

Keywordsasset allocation; performance attribution; financial planning
ANZSRC Field of Research 2020350208. Investment and risk management
380202. Econometric and statistical methods
380107. Financial economics
Byline AffiliationsSchool of Accounting, Economics and Finance
Institution of OriginUniversity of Southern Queensland
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