Does Asset Allocation Policy Explain 40, 90, or 100 ...

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Financial Analysts Journal 28 ©2000, Association for Investment Management and Research Stevens, Surz, and Wimer (1999) provided the same type of analysis on quarterly returns of 58 pension funds over the five-year 1993–97 period.4 We used the actual policy weights and asset-class benchmarks of the pension funds, however, rather

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