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1、CHAPTER22THEUNCORRELATEDRETURNMYTH∗RichardM.Ennis,CFAWehaveritualsatmyhouse.Everyfall,forexample,mywiferemindsmethatitistimetocleanoutthebasement.IgenerallyaccomplishthistaskbymovingasmuchofmyjunkasIcantotheattic.Andeveryspring,shepointsoutthatitistim
2、etocleanouttheattic,atwhichtimeImanagetorelocatemostoftherelicstoafamiliarspotinthebasement.After34yearsofthisroutine,Ifinallyconfrontedthefacts:Ifithasnovalueorconstitutesahazard,Ishouldgetridofit.So,thisfallItrackeddownthelocaljunkdealerandhadhimremo
3、vewhatshouldhavebeendiscardedlongago.Thisseasonalritualgotmethinkingthattheinvestmentprofessionshouldcleanhousefromtimetotime.Eventsofthelastyearhaveshownusthataprimeopportunityexiststodojustthatinthefieldofassetallocation.Forthelastseveralyears,theHol
4、yGrailofassetallocationhasbeenassetsthatoffer“uncorrelatedreturn.”Thepremiseisthatassetswithequity-likeriskpremiumsare,forallintentsandpurposes,uncorrelatedwiththebroadmarket.Availingthemselvesamplyofsuchassets,investorscancreatehigh-returning,compara
5、tivelylow-riskportfoliosbecausetheygettheaverageoftheriskpremiumsbuttheriskitselflargelycancelsout.Orsothestorygoes.Weshouldtestpropositionslike“uncorrelatedreturn”intwoways.First,weshouldeval-uatethemcriticallyinlightofacceptedtheory.Second,weshouldt
6、estthemempirically.Asaresultofthistwo-prongedapproach,wemayrevisetheory.Butifapropositioncontradictsestablishedtheoryandisdisputedbytheevidence,itshouldbediscarded.THEORYAcornerstoneofasset-pricingtheoryisthatinvestorsmayexpecttobecompensatedforriskth
7、eycannotdiversifyaway.Diversificationisessentiallyacostlessactivity,soonehasnorea-sontoexpecttobepaidforariskonecandissipatefornaught.∗ReprintedfromtheFinancialAnalystsJournal(November/December2009):6–7.317CH022.indd3178/28/108:34:44PM318PartII:Measuri
8、ngRiskForexample,takethecapitalassetpricingmodel(CAPM).Itpositsthatanasset’sexpectedriskpremiumisproportionaltoitsmarketsensitivity,orbetacoefficient.Whatisabetacoefficient?Itbreaksdowntotheratioofthestandarddeviationoftheasset’sriskpre-miumtoth
