financeФинансы: теория и практика/Finance: Theory and PracticeFinance: Theory and Practice2587-56712587-7089Financial University under The Government of Russian Federation10.26794/2587-5671-2022-26-4-157-170finance-1733Research ArticleФИНАНСОВЫЙ МЕНЕДЖМЕНТFINANCIAL MANAGEMENTСтратегическое распределение активов и активное управление: данные пенсионных фондов МароккоStrategic Asset Allocation and Active Management: Evidence from Moroccan Pension Fundshttps://orcid.org/0000-0001-9993-1160КабириМ. С.KabiriM. S.

Мулай Слиман Кабири - аспирант

Кенитра

Moulay Slimane Kabiri - Phd Student

Kenitra

moulayslimane.kabiri@uit.ac.mahttps://orcid.org/0000-0002-8028-5610ЭльмсияШ.ElmsiyahСh.

Шериф Эльмсия - Phd, профессор

Кенитра

Cherif Elmsiyah - Phd, Professor, National School of Business and Management

Kenitra

cherif.elmsiyah@uit.ac.mahttps://orcid.org/0000-0002-5728-883XНуиссерО.NouisserO.

Отеман Нуиссер - Phd, профессор

Кенитра

Otheman Nouisser - Phd, Professor

Kenitra

othman.nouisser@uit.ac.maНациональная школа бизнеса и менеджмента, Университет Ибн ТофаилаМароккоIbn Tofail University, National School of Business and ManagementMoroccoНациональная школа бизнеса и менеджмента, Университет Ибн ТофаилаМароккоIbn Tofail UniversityMorocco202211092022264157170Copyright © Кабири М.С., Эльмсия Ш., Нуиссер О., 20222022Кабири М.С., Эльмсия Ш., Нуиссер О.Kabiri M.S., Elmsiyah С., Nouisser O.This work is licensed under a Creative Commons Attribution 4.0 License.https://financetp.fa.ru/jour/article/view/1733

Предметом исследования является оценка вклада стратегического распределения активов в изменчивость результатов деятельности марокканских пенсионных фондов. Цель исследования — определить роль факторов активного управления, а именно — тактического распределения и выбора ценных бумаг — в создании положительного результата по сравнению со стратегическим распределением. Актуальность исследования обоснована необходимостью определить источники повышения эффективности инвестиционных вложений марокканских пенсионных фондов и компенсировать снижение и волатильность доходности активов. Использованы методы простой линейной регрессии при рассмотрении относительной важности стратегического распределения активов в объяснении изменчивости показателей деятельности марокканских пенсионных фондов. Научная новизна состоит в использовании метода «оценка эффективности». Сделан вывод, подтверждающий главную роль стратегического распределения активов, которое варьируется в зависимости от размера фонда, классов активов и склонности управляющего к риску.

The subject of the study is to evaluate the contribution of strategic asset allocation to the variability of Moroccan pension funds performance. The aim of the paper is to identify the role of active management factors, namely tactical allocation and security selection, in generating a performance surplus compared to strategic allocation. The relevance of the study is justified by the need to identify the sources of performance creation in order to face the commitments of Moroccan pension funds and to compensate for the decline and volatility of asset returns. The article addresses, through the use of simple linear regression methods, the relative importance of strategic asset allocation in explaining the variability of the performance of Moroccan pension funds. It introduces a scientific novelty through the use of the “performance attribution” method. The conclusions of the paper confirm the main role of strategic asset allocation, which varies according to the size of the fund, the asset classes, and the risk aversion of the manager.

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The authors declare that there are no conflicts of interest present.