Strategic Asset Allocation and Active Management: Evidence from Moroccan Pension Funds
https://doi.org/10.26794/2587-5671-2022-26-4-157-170
Abstract
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.
Keywords
asset allocation,
active management,
linear regression,
performance attribution,
Moroccan pension funds
JEL: G11, G23
About the Authors
M. S. Kabiri
Ibn Tofail University, National School of Business and Management
Morocco
Competing Interests:
Morocco
Moulay Slimane Kabiri - Phd Student
Kenitra
Competing Interests:
The authors have no conflicts of interest to declare
Сh. Elmsiyah
Ibn Tofail University
Morocco
Competing Interests:
Morocco
Cherif Elmsiyah - Phd, Professor, National School of Business and Management
Kenitra
Competing Interests:
The authors have no conflicts of interest to declare
O. Nouisser
Ibn Tofail University
Morocco
Competing Interests:
Morocco
Otheman Nouisser - Phd, Professor
Kenitra
Competing Interests:
The authors have no conflicts of interest to declare
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Review
For citations:
Kabiri M.S., Elmsiyah С., Nouisser O. Strategic Asset Allocation and Active Management: Evidence from Moroccan Pension Funds. Finance: Theory and Practice. 2022;26(4):157-170. https://doi.org/10.26794/2587-5671-2022-26-4-157-170
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