Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 37

The composition of an asset class should be relatively stable. Otherwise, ascertaining its appropriate composition would require continual monitoring and analysis, and maintaining the appropriate composition would necessitate frequent rebalancing. Both efforts could be prohibitively expensive.

Asset classes whose constituents are weighted according to their relative capitalizations are stable, because when their prices change, their relative capitalizations change proportionately. By contrast, a proposed asset class whose constituents are weighted according to attributes that shift through time, such as momentum, value, or size, may not have a sufficiently stable composition to qualify as an asset class. Sufficiency, of course, is an empirical issue. Momentum is less stable than value, which is less stable than size. Therefore, a group of momentum stocks would likely fail to qualify as an asset class, while stocks within a certain capitalization range might warrant status as an asset class. Value stocks reside somewhere near the center of the stability spectrum and may or may not qualify as an asset class.