Fees eat diversification’s lunch

• William W. Jennings ^[1] ; Brian C. Payne
  1. [1] CFA Institute

     CFA Institute

     Estados Unidos

     
• Localización: Financial analysts journal, ISSN-e 0015-198X, Vol. 72, Nº. 2, 2016, págs. 31-40
• Idioma: inglés
• Texto completo no disponible (Saber más ...)
• Resumen

  • Although diversification is often spoken of as the only free lunch in investing, the authors show that it is not free and that it must be considered in light of its costs. They also show that fees on diversifying asset classes are high relative to their risk-adjusted diversification benefit, with the more exotic asset classes carrying higher price tags. Because there is meaningful cross-sectional variation, fees need to be considered when making strategic asset allocation decisions.

    Editor’s note: This article was reviewed and accepted by Executive Editor Robert Litterman.

    Authors’ note: The opinions expressed in this article are those of the authors and do not necessarily reflect the opinions of the US Air Force Academy, the US Air Force, or any other federal agency.