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FPA Journal - Asset Allocation Revisited (3270 words) |
 | He criticizes BHB for using quarterly data because the quarterly data captures the variation in returns, not the differences in ultimate investment outcome, which Jahnke believes is better expressed by either an annual or cumulative return. |
| In response, BHB should dust off their old data and run one regression using 91 observations of the actual annual or cumulative returns (the dependent variables) versus the annual or cumulative returns of each related benchmark (the independent variables). |
| BHB used the average asset allocation of each plan over the ten-year period, even though some of the plans may have had deliberate shifts in investment policy. |
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