Asset Allocation vs. Security Selection—Baseball with Pitchers Only?

2006 ◽  
Vol 15 (3) ◽  
pp. 35-42 ◽  
Author(s):  
Renato Staub
Keyword(s):  
Asset Allocation ◽  
Security Selection

Value of Security Selection versus Asset Allocation in Credit Markets

1999 ◽  
Vol 25 (4) ◽  
pp. 11-27 ◽  
Author(s):  
Lev Dynkin ◽  
Peter Ferket ◽  
Jay Hyman ◽  
Erik van Leeuwen ◽  
Wei Wu
Keyword(s):  
Asset Allocation ◽  
Credit Markets ◽  
Security Selection

The Relative Importance of Asset Allocation and Security Selection

2006 ◽  
Vol 33 (1) ◽  
pp. 46-55 ◽  
Author(s):  
Kodjovi Assoé ◽  
Jean-François L'Her ◽  
Jean-François Plante
Keyword(s):  
Asset Allocation ◽  
Relative Importance ◽  
Security Selection

scholarly journals Benchmark selection and performance

2019 ◽  
Vol 19 (4) ◽  
pp. 511-531 ◽  
Author(s):  
Dirk Broeders ◽  
Leo de Haan
Keyword(s):  
Asset Allocation ◽  
Pension Funds ◽  
Investment Risk ◽  
Cross Sectional ◽  
Security Selection ◽  
Regulatory Data ◽  
Investment Returns ◽  
And Performance ◽  
Style Preferences ◽  
The Impact

AbstractUsing regulatory data free of self-reporting bias for 2007–16, we decompose investment returns of 455 Dutch pension funds according to their key investment decisions, i.e., asset allocation, market timing and security selection. In extension to existing papers, we also assess the impact of benchmark selection. Over time, asset allocation explains 39% of the variation of returns, whereas benchmark selection, timing and selection explain 11%, 9% and 16%, respectively. Across pension funds, asset allocation explains on average only 19% of the variation in pension fund returns. Benchmark selection dominates this by explaining 33% of cross-sectional returns. We relate the choice for a specific benchmark to investment, risk and style preferences.

The learning experience continues: two decades and counting for CSULB’s SMIF program

2019 ◽  
Vol 46 (4) ◽  
pp. 513-529
Author(s):  
Peter Ammermann ◽  
Pia Gupta ◽  
Yulong Ma
Keyword(s):  
Asset Allocation ◽  
Learning Experience ◽  
California State University ◽  
Quantitative Approach ◽  
Investment Fund ◽  
State University ◽  
Long Beach ◽  
Content Type ◽  
Educational Benefits ◽  
Security Selection

Purpose The student-managed investment fund (SMIF) program at California State University, Long Beach (CSULB), was launched in 1995 with one portfolio worth $50,000. In the two decades since then, the program has grown to include three portfolios with a combined value of more than $700,000, managed on behalf of three different clients. The purpose of this paper is to describe the creation, evolution and growth of the program including the development of the new quantitative approach and its subsequent implementation. The paper also discusses the ongoing organizational, educational and investment-management challenges associated with the program. Design/methodology/approach The paper includes a description of the development and evolution of the program along with a discussion of the investment results for one of its three portfolios. Findings The paper finds: the new quantitative approach implemented in the program is effective as insurance against “black swan” events; and SMIF-type programs can provide learning experiences both for students and faculty members. Practical implications The paper explains the practical application of the new quantitative approach as well as the educational benefits of a SMIF-type program. Originality/value The paper provides insight into the structure of CSULB’s SMIF program and discusses a unique quantitative approach to asset allocation and security selection.

scholarly journals KINERJA PENGELOLAAN DANA PADA PASAR MODAL INDONESIA

2008 ◽  
Vol 10 (4) ◽  
Author(s):  
Yuyun Istavirti ◽  
Dr. Andi M. Alfian Parewangi ◽  
Dr. Ruslan Prijadi
Keyword(s):  
Asset Allocation ◽  
Mutual Fund ◽  
Market Timing ◽  
Selection Strategy ◽  
Fund Manager ◽  
Data Set ◽  
Financial Investment ◽  
Allocation Policy ◽  
Tactical Asset Allocation ◽  
Security Selection

The mutual fund is a fast growing, flexible and sizely attainable product, hence make it as favourable choice for the investors. As in other developing countries, however, the management of the fund invested in mutual fund is done by pointed fund manager. This paper raises and answers the question of how efficient the fund management is. This paper ustilizes the decomposition return model on the monthly data set from 2002-2006 in Indonesia. The model derived, enable us to trace and decompose the management performance into (i) the allocation policy skill, (ii) the security selection skill and (iii) the market timing strategy or the tactical asset allocation abilty.The model estimation result shows significant management capabilities on allocating the fund into suitable asset class. We record that the best asset allocation policy was on February 2002, June 2004, August 2004 and February 2006. Inline with this, another result shows the negatif contribution of the short term-tactical asset allocation as conformed by several previous studies; Treynor-Mazuy (1996), Wardhani (2003), and Henriksson (1984) among others. There is an exception for February 2006 where a successful market timing strategy contributed an additional 7.34% return. The security selection strategy is confirmed to have a positive and significant impact on the mutual fund performance. During the observation period, the best security selection strategy was achieved on February, March and July 2002, September 2003, and March, October, and December 2005. For these certain period, the security selection activities gave more than 2% additional monthly return.The policy implication is straightforward; a more intensively monitoring on the implementation of the planned asset allocation to give a safer financial investment environment for the investors. This paper also suggest the investment manager to provide a sufficient information about the portfolio’s risk profile. Our quantitative description has shown a large varieties both on return and risk across the mutual fund manager showing their varied risk taking behaviour, on which the investor has a right to know.JEL Classification: H54, G11, G31, O16Keywords: Mutual fund, asset allocation, security selection, market timing, period specific estimation, financial investment

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