Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 14

 It is commonly assumed that asset allocation explains more than 90% of investment performance.

 This belief is based on flawed analysis by Brinson, Hood, and Beebower.

 The analysis is flawed because it implicitly assumes that the default portfolio is not invested; it thereby fails to distinguish between the risk driven by asset allocation decisions and the risk driven by the fundamental decision to invest in the first place.

 Also, this study, as well as many others, analyzes actual investment choices rather than investment opportunity. By analyzing actual investment choices, these analyses confound the natural importance of an investment activity with an investor's choice to emphasize that activity.

 Bootstrap simulation of the potential range of outcomes associated with asset allocation and security selection reveals that security selection has as much or more potential to affect investment performance as asset allocation does.

 It does not necessarily follow, though, that investors should devote more resources to security selection than asset allocation, because, as argued by Paul Samuelson, it is easier to be successful at asset allocation than security selection.

 Asset allocation is very important, but not for the reasons put forth by Brinson, Hood, and Beebower.