English, Article, Journal or magazine article edition: The Value of Asset Allocation Advice - Evidence of The Economist’s Quarterly Portfolio Poll J. ANNAERT; J.K. DE CEUSTER; W. VAN HYFTE

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Bookmark: http://trove.nla.gov.au/version/14923
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • The Value of Asset Allocation Advice - Evidence of The Economist’s Quarterly Portfolio Poll
Author
  • J. ANNAERT
  • J.K. DE CEUSTER
  • W. VAN HYFTE
Physical Description
  • preprint
Notes
  • This study analyzes the economic importance of portfolio advice. Academic studies mainly focus on the performance of domestic equity portfolios of mutual or pension funds and attempt to measure abnormal performance following a return-based regression approach. Remarkably little is known empirically about the investment performance of international multiple-asset-class portfolios. We construct recommended portfolios based upon the asset allocation and security market advice of major international investment bankers and analyze the performance using weight-based performance techniques. We conclude that advisers are not able to outperform our benchmarks before transaction and other related costs. Weak performance on the asset allocation level is mainly driven by significant underperformance in the equity market. However, as there is significant and persistent differential performance in the short run, especially in the bond market, choosing the right investment adviser is of decisive importance in achieving abnormal performance. Our results indicate that portfolio advisers are not able to realize superior performance through appropriate timing and selection and as a consequence do not add value to a passive strategy of benchmark investing. Moreover, most of them exhibit strong momentum investing suggesting that they shift their recommended portfolio in favor of assets with high past returns and away from assets with low past returns.
  • Weight-Based Performance Evaluation, Multiple-Asset-Class Portfolios
  • RePEc:rug:rugwps:02/​160
Language
  • English
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