Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 40

Each asset class should be sufficiently dissimilar from the other asset classes in a portfolio as well as linear combinations of other asset classes. If the asset classes are too similar to each other, their redundancy will force the investor to expend unnecessary resources analyzing their expected return and risk properties and searching for the most effective way to invest in them.

In Chapter 2, we build portfolios from seven asset classes: US equities, foreign developed market equities, emerging market equities, Treasury bonds, corporate bonds, commodities, and cash equivalents. We considered including intermediate-term bonds as well. However, the lowest possible tracking error of a portfolio composed of these asset classes with intermediate-term bonds is only 1.1%. Intermediate-term bonds are, therefore, redundant. The lowest possible tracking error with commodities, by contrast, is 19.5%; hence, we include commodities in our menu of asset classes. Although there is no generically correct tracking error threshold to determine sufficient independence, within the context of a particular group of potential asset classes the answer is usually apparent.