Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 68

The Brinson, Hood, and Beebower methodology has another feature that limits its ability to separate the relative importance of various investment activities, which is also common to other methodologies that address this question. Most studies analyze the actual performance of funds.³ In this sense, they are positive, as opposed to normative; they rely on actual returns that reflect some combination of the relative importance of alternative investment choices as well as the behavior of investors; that is, the extent to which investors choose to engage in various investment activities.

For example, some investors choose to invest in actively managed funds with high tracking error relative to the norm, but choose an asset mix that is close to the norm, such as the average asset mix of a relevant universe. Other investors choose actively managed funds with low tracking error relative to the norm, but choose an asset mix that is substantially different from the normal asset mix. In the former case, security selection will be seen to be more important than it is normally thought to be, whereas asset allocation will be seen to be less important than it is typically construed to be. In the latter case, the opposite will be true. But these conclusions could be misleading, because they may reflect as much or more about the investors' choices to emphasize asset allocation over security selection than the potential impact asset allocation and security selection have on portfolio performance.

To separate the intrinsic importance of an investment choice from an investor's decision to emphasize that choice, we need to measure the potential for an investment choice to cause dispersion in wealth. Dispersion is important to investors who believe they are skillful because it enables them to increase wealth beyond what they could expect to achieve by passive investment or from average performance. Dispersion is also important to investors who are unlucky because it exposes them to losses that might arise as a consequence of bad luck.⁴ As beneficial as it is for skillful investors to focus on activities that cause dispersion, it is equally important for unlucky investors to avoid activities that cause dispersion.