DETERMINANTS OF PORTFOLIO PERFORMANCE BRINSON PDF

At CFA Institute, our top priority is always the health and safety of our employees, candidates, and stakeholders around the globe. Due to routine site maintenance, password-protected pages on cfainstitute. Gary P. Brinson CFA L.

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At CFA Institute, our top priority is always the health and safety of our employees, candidates, and stakeholders around the globe. Due to routine site maintenance, password-protected pages on cfainstitute. Gary P. Brinson CFA L. Randolph Hood Gilbert L. Functional cookies , which are necessary for basic site functionality like keeping you logged in, are always enabled. Allow analytics tracking. Analytics help us understand how the site is used, and which pages are the most popular.

Read the Privacy Policy to learn how this information is used. In order to delineate investment responsibility and measure performance contribution, pension plan sponsors and investment managers need a clear and relevant method of attributing returns to those activities that compose the investment management process—investment policy, market timing, and security selection. The authors provide a simple framework based on a passive, benchmark portfolio representing the plan's long-term asset classes, weighted by their long-term allocations.

Returns on this "investment policy" portfolio are compared with the actual returns resulting from the combination of investment policy plus market timing over- or underweighting within an asset class. Data from 91 large U. The actual mean average total return on the portfolio over the period was 9. Active management cost the average plan 1. Although investment strategy can result in significant returns, these are dwarfed by the return contribution from investment policy—the selection of asset classes and their normal weights.

Previously, he founded Brinson Partners, Inc. Brinson is the co-author of two books on global investing and has written numerous articles on an array of investment topics.

Published by Association for Investment Management and Research. If you use the site without changing settings, you are agreeing to our use of cookies. Learn more in our Privacy Policy. Privacy Settings. Save Settings. Abstract In order to delineate investment responsibility and measure performance contribution, pension plan sponsors and investment managers need a clear and relevant method of attributing returns to those activities that compose the investment management process—investment policy, market timing, and security selection.

Brinson CFA. Randolph Hood. Gilbert L.

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Determinants of Portfolio Performance II: An Update

At CFA Institute, our top priority is always the health and safety of our employees, candidates, and stakeholders around the globe. Due to routine site maintenance, password-protected pages on cfainstitute. Gary P. Functional cookies , which are necessary for basic site functionality like keeping you logged in, are always enabled. Allow analytics tracking.

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Determinants of Portfolio Performance

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