The Relative Importance of Asset Allocation and Security Selection

CFA Digest ◽  
2007 ◽  
Vol 37 (2) ◽  
pp. 79-80
Author(s):  
Spencer L. Klein
Keyword(s):  
Asset Allocation ◽  
Relative Importance ◽  
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

Asset Allocation vs. Security Selection: Their Relative Importance

CFA Digest ◽  
2013 ◽  
Vol 43 (2) ◽  
pp. 93-95
Author(s):  
Servaas Houben
Keyword(s):  
Asset Allocation ◽  
Relative Importance ◽  
Security Selection

The Relative Importance of Asset Allocation and Security Selection

2007 ◽  
Vol 33 (4) ◽  
pp. 111-111 ◽  
Author(s):  
Mark Kritzman ◽  
Sébastien Page
Keyword(s):  
Asset Allocation ◽  
Relative Importance ◽  
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

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.

Value of Security Selection versus Asset Allocation in Credit Markets

CFA Digest ◽  
2000 ◽  
Vol 30 (1) ◽  
pp. 19-21
Author(s):  
Thomas J. Latta
Keyword(s):  
Asset Allocation ◽  
Credit Markets ◽  
Security Selection

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.

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