Determinants of portfolio performance: CIBC Canadian balanced funds

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It is widely believed that the asset allocation decision is one of the most important components in determining portfolio performance. This paper will attempt to provide a more in-depth discussion about asset allocation policy and evaluate whether passive asset allocation management can generate a better portfolio return compared to active asset allocation management over a 10-year time. Past research finds that an usset allocation policy does play a significant part in determining both return and risk in many portfolios. However, other components, such as market timing and security selection, can also contribute to the overall return under certain conditions. The purpose of paper is to revisit a study of this issue by Brinson, Hood and Beebower using a different data set. In this project, I analyze CIBC Canadian balanced funds over a 10-year period (January 1995 through December 2004).

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Faculty of Business Administration - Simon Fraser University
Thesis type: 
Research Project (M.B.A.)