Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 17

 Investors mistakenly believe that diversification is unconditionally beneficial because they implicitly assume that correlations are symmetric.

 The evidence shows, however, that correlations differ significantly depending on the size and direction of returns.

 Investors should seek diversification when their portfolios' main growth component is performing poorly and unification when their portfolios' main growth component is performing well.

 Unfortunately, most asset class pairs exhibit unfavorable correlation profiles characterized by unification on the downside, when it is not wanted, and diversification on the upside, when it is not needed.

 Investors can employ full-scale optimization, which is introduced in Chapter 12, to construct portfolios that account implicitly for asymmetric correlations.