TY  - JOUR
A1  - Loos, Benjamin
A1  - Meyer, Steffen
A1  - Hackethal, Andreas
T1  - Asset allocation versus security selection – new insights from individual investors
T2  - EFL quarterly : an E-Finance Lab publication
N2  - WE DECOMPOSE INDIVIDUAL INVESTORS’ PORTFOLIO RETURNS INTO PASSIVE BENCHMARK RETURNS, ACTIVE SECURITY SELECTION RETURNS, AND ACTIVE MARKET TIMING RETURNS. FOR THE AVERAGE INVESTOR IN OUR SAMPLE, PASSIVE BENCHMARK RETURNS EXPLAIN SOME 40% OF VARIATION IN LONGITUDINAL PORTFOLIO RETURNS, SECURITY SELECTION EXPLAINS AN ADDITIONAL 50%, AND MARKET TIMING PLAYS ONLY A MINOR ROLE. THIS STANDS IN STARK CONTRAST TO EARLIER RESULTS ON INSTITUTIONAL INVESTORS WHERE PASSIVE BENCHMARK RETURNS (REFLECTING DIFFERENT ASSET ALLOCATION STRATEGIES) EXPLAIN OVER 90%. THE PREDOMINANCE OF SECURITY SELECTION COMES AT A COST FOR INDIVIDUAL INVESTORS: INVESTORS FROM THE HIGHEST QUINTILE IN TERMS OF SECURITY SELECTION ACTIVITY UNDERPERFORM THEIR PEERS FROM THE LOWEST QUINTILE BY MORE THAN 10 PERCENTAGE POINTS PER YEAR. TRANSACTION COSTS EXPLAIN ONLY PART OF THIS UNDERPERFORMANCE. THE LESS INVESTORS DIVERSIFY, THE WORSE THEY DO.
Y1  - 2015
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/57980
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-579807
SN  - 1866-1238
VL  - 2015
IS  - 3
SP  - 4
EP  - 5
PB  - E-Finance Lab e.V.
CY  - Frankfurt am Main
ER  -