The Death of Diversification Has Been GreatlyExaggerated
反驳了金融危机后对分散化策略的批评，指出投资者实际分散不足，并论证转向因子分散比资产类别分散更能有效降低波动性和市场方向性，对长短仓和纯多头投资均有意义。
Diversification is famously referred to as the only “free lunch” in investing, but it has been under assault since the 2007–2009 global financial crisis, when virtually all longonly asset classes moved down together. Ilmanen and Kizer argue that the attacks are undeserved. Most investors were never as diversified as they thought they were, and there is ample room for improvement by shifting the focus from asset class diversification to factor diversification. They show that diversification into and across factors has been much more effective in reducing portfolio volatility and market directionality than asset class diversification. The benefits are greatest for long–short investing, which requires shorting and leverage but are also meaningful in a long-only context. <b>TOPICS:</b>Portfolio theory, analysis of individual factors/risk premia, financial crises and financial market history