Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 67

To stress our point even further, it is possible to construct a simple yet extreme example of the Brinson, Hood, and Beebower methodology that leads to an obvious contradiction. Kritzman (2006) describes an imaginary world with two stocks and two bonds.² The first stock always produces the same return as the first bond, and the second stock always produces the same return as the second bond. Thus, stocks and bonds as asset classes always have identical returns, which means that the weights assigned to stocks versus bonds have no impact. In other words, asset allocation is completely irrelevant to returns. Security selection does matter, though. Suppose that the second stock and second bond have returns that are always twice as large as those of the first stock and first bond. The punch line is that an investor who allocates entirely to the second stock and second bond will earn twice the return of an investor who allocates to the first stock and first bond, but both of their returns will be 100% correlated to their asset allocation benchmarks (equivalent to an R-squared of 100% in a regression of returns). The methodology proposed by Brinson, Hood, and Beebower would conclude that asset allocation explains 100% of performance variation across the two investors, but we know the opposite to be true: asset allocation is irrelevant in this example.