Financial Analyst Journal, Volume 74, Issue 1, 2018

免费的午餐？过度多元化的成本

作者：Shawn McKay (State Street Global Advisors)

Robert Shapiro (State Street Global Advisors)

Ric Thomas (State Street Global Advisors)

摘要：那些投资表现优于政策基准的机构投资者，通常是将资金分配给较为活跃的管理者以达到他们的收益目标。在不使投资方案过度多元化的情况下如何做到这一点，往往是他们需要考虑的问题。然而雇佣过多的管理者虽然可以显著降低主动型风险，却导致了过高的费用和有限的超越政策基准表现的能力。在调查了美国最大的公共和企业养老金所持有的外部投资策略的数量，我们分析发现大多数养老金的投资策略过于多元化，因此我们为其今后运行提出了一个较为简单的框架建议。

What Free Lunch? The Costs of Overdiversification

Shawn McKay (State Street Global Advisors), Robert Shapiro (State Street Global Advisors), Ric Thomas (State Street Global Advisors)

ABSTRACT

Institutional investors, charged with outperforming a policy benchmark, often allocate to external active managers in order to hit their return objective. The challenge is to do so without overdiversifying the plan. Hiring too many managers can significantly reduce active risk, leaving the plan with high fees and limited ability to outperform a policy benchmark. We review the number of external investment strategies held by the largest US public and corporate pension funds. Our analysis shows that most large pension funds are overdiversified, allowing us to suggest a simpler framework for moving forward.

原文链接：

https://www.cfapubs.org/doi/abs/10.2469/faj.v74.n1.2

翻译：秦秀婷