Asset Allocation. William Kinlaw

      1 Brinson, G. P. and Hood, R. 2006. “Determinants of Portfolio Performance – 20 Years Later: Authors' Responses,” Financial Analysts Journal, Vol. 62, No. 1 (January/February).

      2 Brinson, G. P., Hood, L. R., and Beebower, G. L. 1986. “Determinants of Portfolio Performance,” Financial Analysts Journal, Vol. 42, No. 4 (July/August).

      3 Ibbotson, R. G. and Kaplan, P. D. 2000. “Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance?” Financial Analysts Journal, Vol. 56, No. 1 (January/February).

      4 Kritzman, M. 2006. “Determinants of Portfolio Performance – 20 Years Later: A Comment,” Financial Analysts Journal, Vol. 62, No. 1 (January/February).

      5 Kritzman, M. and Page, S. 2002. “Asset Allocation versus Security Selection: Evidence from Global Markets,” Journal of Asset Management, Vol. 3, No. 3 (December).

      6 L'Her, J. F. and Plante, J. F. 2006. “The Relative Importance of Asset Allocation and Security Selection,” Journal of Portfolio Management, Vol. 33, No. 1 (Fall).

      7 Samuelson, P. A. 1998. “Summing Up on Business Cycles: Opening Address,” in Beyond Shocks: What Causes Business Cycles, edited by J. C. Fuhrer and S. Schuh. Boston: Federal Reserve Bank of Boston.

      1 1. See Brinson, Hood, and Beebower (1986).

      2 2. This argument first appeared as a letter to the editor in the Financial Analysts Journal in July/August 2006. Gary Brinson and Randolph Hood responded to this critique in the same issue. See Kritzman (2006) and Brinson and Hood (2006).

      3 3. We have yet to meet a manager who claims to be lucky nor one who claims to be unskillful.

      4 4. See Ibbotson and Kaplan (2000).

      5 5. See Kritzman and Page (2002).

      6 6. See Samuelson (1998).