Asset Allocation. William Kinlaw. Читать онлайн. Newlib. NEWLIB.NET

Автор: William Kinlaw
Издательство: John Wiley & Sons Limited
Серия:
Жанр произведения: Ценные бумаги, инвестиции
Год издания: 0
isbn: 9781119817727
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Standard Deviation (%) Correlation (%) Relative Volatility (%) Standard Deviation (%) Correlation (%) Relative Volatility (%) A1 10.0 A1 10.0 A2 10.0 50.0 10.0 A2 10.0 50.0 10.0 B1 10.0 B1 10.0 B2 10.0 50.0 10.0 B2 10.0 50.0 10.0 A 8.7 A 8.7 B 8.7 33.3 10.0 B 8.7 25.0 10.6

      The upper left panel shows that relative volatility between asset classes is less than relative volatility between securities when they are all uncorrelated with one another. The upper right panel shows the same result when they all are equally correlated with one another. The lower left panel shows the asset class and security correlations that lead to convergence between relative volatilities. Finally, the lower right panel provides an example in which the relative volatility between asset classes is higher than it is between securities.

      Determining Relative Importance by Simulation

      The associations between standard deviation, correlation, and relative volatility are easy to illustrate when we consider only two asset classes each divided equally between only two securities. These associations become less clear when we consider several asset classes weighted differently among hundreds of securities with a wide range of volatilities and correlations. Under these real-world conditions, it is easier to resolve the question of relative importance by a simulation procedure known as bootstrapping.

      L'Her and Plante (2006) refined the Kritzman and Page methodology to account for the relative capitalization of securities, and they also included a broader set of asset classes. Their analysis showed asset allocation and security selection to be approximately equally important – still a far different result from the conclusion of Brinson, Hood, and Beebower.