RT Journal Article
SR Electronic
T1 The Relative Importance of Asset Allocation and Security Selection
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 46
OP 55
DO 10.3905/jpm.2006.661371
VO 33
IS 1
A1 Kodjovi Assoé
A1 Jean-François L'Her
A1 Jean-François Plante
YR 2006
UL https://pm-research.com/content/33/1/46.abstract
AB There remains an active debate as to whether asset allocation or security selection is more important in investment performance. This revisit of the question uses a normative framework suggested before, but adds a more representative opportunity set for asset allocation, an unbiased dataset for stocks, and a modified security selection methodology that ensures strict uniformity with asset allocation rebalancing rules. In this case, the results do not support a clear hierarchy of investment choice. The extent to which asset allocation or security selection generates dispersion in active return is largely time-dependent.TOPICS: Portfolio construction, equity portfolio management, performance measurement