摘要：Most of the studies on asset allocation put policy at the forefront of their studies, claiming that it is the most important factor contributing to returns. They usually ignore the fact that even in the absence of a long- term perspective; funds can still achieve returns by simply putting money in the capital markets. In this paper, we used 15 years of monthly data for the Israeli provident funds to assess the relative importance of capital market movements and asset allocation policy separately against the timing and selection abilities of fund managers. We found that, according to time-series analysis, total market movements, which account for more than 70% of total returns, predominantly influence returns and the incremental contribution of policy above the market is only 17%. Moreover, policy explains less than half of the variations in excess market returns. Indeed, policy is no better than active management in explaining variations in returns both across time and between funds. Remarkably, security selection dictates both the return level and the variation in returns from active management (53% in cross sectional analysis), while the influence of timing is found negligible (below 10% on average).
