Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 44

We believe the following asset classes satisfy the criteria we proposed, at least in principle, though this list is far from exhaustive.

Cash equivalents	Foreign developed market equities
Commodities	Foreign emerging market equities
Domestic corporate bonds	Foreign real estate
Domestic equities	Infrastructure
Domestic real estate	Private equity
Domestic Treasury bonds	Timber
Foreign bonds	Treasury Inflation Protected Securities (TIPS)

The following groupings are often considered asset classes, but in our judgment fail to qualify for the reasons specified. Obviously, this list is not exhaustive. We chose these groupings as illustrative examples.

Art	Not accessible in size
Global equities	Not internally homogeneous
Hedge funds	Not internally homogeneous and require selection skill
High-yield bonds	Not externally heterogeneous
Inflation	Not directly investable
Intermediate-term bonds	Not externally heterogeneous
Managed futures accounts	Not internally homogeneous and require selection skill
Momentum stocks	Unstable composition

Let's focus on hedge funds for a moment, since many investors treat this category as an asset class. Most hedge funds invest across a variety of asset classes; thus, they are not internally homogeneous. Moreover, they comprise actively managed variants of other asset classes, so they are not externally heterogeneous. Finally, it is unlikely that a random selection of hedge funds will improve a portfolio's expected utility. Rather than treating hedge funds as an asset class, investors should think of them as a management style. The decision to allocate to hedge funds, therefore, should be a second-order decision. After determining the optimal allocation to asset classes, investors should next consider whether it is best to access the asset classes by investing in passively managed vehicles, active separately managed accounts, mutual funds, limited partnerships, or hedge funds.

In the next chapter, we describe the conventional approach to determining the optimal allocation to asset classes.