Abstract
This study analyzes the economic importance of portfolio advice for an investor with an international and multiple-asset investment strategy. We construct portfolios based upon the asset allocation and security market advice of major international investment bankers and analyze the performance using weight-based techniques. Our results indicate that portfolio advisers are not able to outperform passive benchmarks. They do not realize superior performance either through appropriate timing or selection skills. Apparent market timing skills as measured by the Portfolio Change Measure are to a large extent an artifact caused by serial correlation in the return indices used. Likewise, the apparent short-run performance persistence is more due to the serial correlation in returns than to active portfolio selection strategies.
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