The Myth of Diversification
By Mark Kritzman, State Street Associates
Apr 1, 2019
By David B. Chua, Mark Kritzman, and Sebastien Page
Published in the Journal of Portfolio Management, Fall 2009
We present empirical results across a wide variety of assets, which reveal that, unlike the theoretical profiles, empirical correlations are significantly asymmetric.
1.Peter L. Bernstein Award for Best Article in an Institutional Investor Journal in 2013; Doriot Award for Best Private Equity Research Paper in 2022; Bernstein-Fabozzi/Jacobs-Levy Award for Outstanding Article in the Journal of Portfolio Management in 2006, 2009, 2011, 2013 (2), 2014, 2015, 2016, 2021; Roger F. Murray First Prize for Research Presented at the Q Group Conference in 2012 and 2021; Graham & Dodd Scroll Award for article in the Financial Analysts Journal in 2002 and 2010.