"Determinants of portfolio performance - 20 years later": A comment

Financial Analysts Journal

Volumn 62, Issue 1, 2006, Pages 10-11

  Kritzman, Mark ^a  

^a Windham Capital Management LLC   (United States)

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[No Author keywords available]

Indexed keywords

EID: 33645659235     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v62.n1.2781     Document Type: Note

References (4)

1. Gary P. Brinson, G. Randolph Hood, and Gilbert L. Beebower, Financial Analysts Journal, vol. 42, no. 4 (July/August 1986):39-44; this article was reproduced in the January/February 1995 50th Anniversary Issue (vol. 51, no. 1:133-138) and is available online at cfapubs.org.
2. More specifically, they separated a portfolio's policy asset mix from its actual time-varying asset mix, but this separation is not relevant to my critique because I assume a constant asset mix throughout.
3. A correct analysis from the perspective of positive economics reveals that asset allocation determines about 40 percent of performance, and from the perspective of normative economics, about 10 percent. See, for example, Roger G. Ibbotson and Paul D. Kaplan, "Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance?" Financial Analysts Journal, vol. 56, no. 1 (January/February 2000):26-33
4. and M. Kritzman and S. Page, "The Hierarchy of Investment Choice," Journal of Portfolio Management, vol. 29, no. 4 (Summer 2003):11-23.