Below are links to academic research that describe the state of current academic understanding of asset allocation. We have categorized the links into distinct groups; dynamic Vs strategic asset allocation, asset class specific research and studies about the importance of asset allocation in industry.
Academic research on asset allocation starts with the seminal paper in 1986 by Brinson, Hood and Beebower which was later, in 2000, expanded on by Ibbotson and Kaplan. These studies show that “on average across funds, asset allocation policy explains a little more than 100 percent of the level of returns.” A follow-up study by Roger Ibbotson and Paul Kaplan further explains these results.
Brinson, Gary P., L. Randolph Hood, and Gilbert L. Beebower. 1986. “Determinants of Portfolio Performance.” Financial Analysts Journal 42, 4: 39-48. Reprinted in Financial Analysts Journal 51, 1 (1995, 50th anniversary issue): 133-138. Brinson, Gary P., Brian D. Singer, and Gilbert L. Beebower. 1991. “Determinants of Portfolio Performance II: An Update.” Financial Analysts Journal 47, 3: 40-48.