Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 65

This methodology is flawed because it presents no notion of a normal or a default asset mix. Their analysis implicitly assumes that the pension plans' funds would otherwise be uninvested, perhaps contained in a very large coffee can. Because the authors failed to net out an average or typical asset mix, most of the variation in performance that they attributed to asset allocation policy arose not from the choice of a portfolio's asset mix but, instead, from merely the decision to invest. The authors simply demonstrated that we incur risk when we invest in risky assets.