Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
958323 | Journal of Empirical Finance | 2008 | 24 Pages |
Abstract
We conduct performance tests of the recommended asset allocations made by a panel of international investment houses (the “Houses”) from 1982 through 2005. We compare the returns and Sharpe Ratios from the recommended-weight portfolio against those of several benchmark portfolios and to a set of 10,000 returns and Sharpe Ratios from randomly shuffled-weight and shuffled-weight change portfolios. We find that the Houses generally fail to outperform the benchmarks. The shuffled-weight change benchmark exhibits a robust “style-preserving” property in that the average portfolio standard deviation is nearly equal to the portfolio standard deviation from the actual recommended weights.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Mary M. Bange, Kenneth Khang, Thomas W. Miller Jr.,