Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 71

We hope we have convinced you that asset allocation does not determine 94% of performance, and that contrary to this assumption, security selection has equal, if not greater, potential to affect the distribution of returns. Does it follow, therefore, that investors should focus more effort on security selection than asset allocation? Not at all. Paul A. Samuelson put forth the argument that investment markets are microefficient and macroinefficient, which implies that investors are more likely to succeed by engaging in asset allocation than in security selection. He argued that if an individual security is mispriced, a smart investor will notice and trade to exploit the mispricing, and by doing so will correct the mispricing. Therefore, opportunities to exploit the mispricing of individual securities are fleeting. However, if an aggregation of individual securities, such as an asset class, is mispriced, a smart investor will detect the mispricing and trade to exploit the mispricing. But one smart investor, or even several, would not have the scale to revalue an entire asset class. The mispricing of an asset class will likely persist until an exogenous shock jolts many investors, smart or not, to act in concert and thereby revalue the asset class. Thus, asset class mispricing endures sufficiently long to allow investors to profit from it.⁶