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The Myth of Diversification Reconsidered

By William Kinlaw, Mark Kritzman, David Turkington, State Street Associates

Mar 3, 2021

By William Kinlaw, Mark Kritzman, Sébatien Page, and David Turkington.

To account for asymmetric correlations, investors must measure them correctly. Many don’t.

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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.