Super Session #10: The Costs of Manager Diversification

Date: 
Monday, April 27, 2015 -
4:30pm to 5:45pm

Session type:

Vijay Vaidyanathan, PhD, Optimal Asset Management

Alternative investments and active management are (or more accurately, are supposed to be) primarily driven by active risk. Conventional wisdom suggests that diversifying across multiple active managers reduces overall portfolio risk. We will use ideas based on a framework recently suggested by Ronald Kahn and Michael Lemmon (“Smart Beta: The Owner’s Manual,” Journal of Portfolio Management, Winter 2015), along with simple software tools to examine the cost implications of diversifying across managers.