The performance of asset allocation mutual funds

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dc.check.date2025-10-14en
dc.check.infoAccess to this article is restricted until 12 months after publication by request of the publisheren
dc.contributor.authorYin, Zhengnanen
dc.contributor.authorO’Sullivan, Niallen
dc.contributor.authorSherman, Meadhbhen
dc.contributor.funderUniversity College Corken
dc.date.accessioned2024-11-26T09:55:13Z
dc.date.available2024-11-26T09:55:13Z
dc.date.issued2024-10-14en
dc.description.abstractWe analyze the performance of asset allocation funds using a best-fit multifactor model that includes both stock and bond market factors. Utilizing large samples of allocation funds from both the US and the UK, we find that, on average, asset allocation funds do not outperform their benchmarks, and there is little or weak evidence of performance persistence when examining both decile portfolios and small-size portfolios. However, asset allocation funds still demonstrate superior abilities. At the individual fund level, some funds exhibit significant positive alphas, stock market timing, and bond market timing in both the US and UK markets. Furthermore, we find that US allocation funds with low past maximum drawdowns (MDDs) outperform those with high past MDDs during periods of high stock market returns and high stock market volatility. In contrast, UK allocation funds with low past MDDs outperform those with high MDDs when bond market returns are high.en
dc.description.statusPeer revieweden
dc.description.versionAccepted Versionen
dc.format.mimetypeapplication/pdfen
dc.identifier.citationYin, Z., O’Sullivan, N. and Sherman, M. (2024) 'The performance of asset allocation mutual funds', Financial Markets and Portfolio Management, 38, pp. 465-514. https://doi.org/10.1007/s11408-024-00457-2en
dc.identifier.doihttps://doi.org/10.1007/s11408-024-00457-2en
dc.identifier.eissn2373-8529en
dc.identifier.endpage514en
dc.identifier.issn1934-4554en
dc.identifier.journaltitleFinancial Markets and Portfolio Managementen
dc.identifier.startpage465en
dc.identifier.urihttps://hdl.handle.net/10468/16673
dc.identifier.volume38en
dc.language.isoenen
dc.publisherSpringer Natureen
dc.relation.ispartofFinancial Markets and Portfolio Managementen
dc.rights© 2024, the Authors under exclusive licence to Swiss Society for Financial Market Research. This is a post-peer-review, pre-copyedit version of an article published in Financial Markets and Portfolio Management. The final authenticated version is available online at: https://doi.org/10.1007/s11408-024-00457-2en
dc.subjectAsset allocation funden
dc.subjectFund performanceen
dc.subjectMarket timingen
dc.subjectMaximum drawdownen
dc.subjectPerformance persistenceen
dc.subjectBootstrapen
dc.titleThe performance of asset allocation mutual fundsen
dc.typeArticle (peer-reviewed)en
oaire.citation.issue4en
oaire.citation.volume38en
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