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| Author: | Blake, D. |
| Title: | Asset allocation dynamics and pension fund performance |
| Journal: | Journal of Business
1999 : OCT, VOL. 72:4, p. 429-462 |
| Index terms: | ASSETS ALLOCATION PENSION FUNDS |
| Language: | eng |
| Abstract: | Using a data set on more than 300 UK pension funds' asset holdings, this article provides a systematic investigation of the performance of managed portfolios across multiple asset classes. The authors find evidence of slow mean reversion in the funds' portfolio weights toward a common, time-varying strategic asset allocation. The authors also find surprisingly little cross-sectional variation in the average ex post returns arising from the strategic-asset allocation. |
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