The Performance of Asset Allocation Mutual Funds
Market timing and tactical asset allocation across several asset classes, studied by Yin, O’Sullivan and Sherman in 2024. The abstract mentions excess returns but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Using large samples of both US and UK industry data, we find asset allocation funds do not outperform their benchmarks on average.”
AssetMulti-assetsingle stocks, bonds
StrategyMarket timingfactor investing
GeographyUSUK
ClaimExcess return
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMarket timing and tactical asset allocation by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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