HOW WELL DO ASSET ALLOCATION MUTUAL FUND MANAGERS ALLOCATE ASSETS

被引：3

作者：

CHAN, A ^{[1
]}

CHEN, CR ^{[1
]}

机构：

[1] UNIV DAYTON,DEPT ECON & FINANCE,DAYTON,OH 45469

来源：

JOURNAL OF PORTFOLIO MANAGEMENT | 1992年 / 18卷 / 03期

关键词：

D O I：

10.3905/jpm.1992.81

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article analyzes the total and disaggregated performance of the specialized type of mutual fund called asset allocation funds. These funds reportedly move assets in and out of different market sectors according to signals emitted by various market indicators. Weekly data results for individual funds indicate that such funds have some stock selection ability, but this result is not observed when monthly data are examined. We find no evidence to support the notion that these types of funds excel in the timing of market movements. Finally, the Sharpe and Treynor conventional performance measures demonstrate that the total performance of these funds is inferior in comparison to the market portfolio.

引用

页码：81 / 91

页数：11