Asset Class Impacts on the 30-Year Efficient Frontier
We investigate the long-term (30-year) efficient frontier weights in five common asset class indexes by adding classes one-by-one to the stock-bond frontier. Our results show that bonds are the most effective diversifier for stocks, real estate is helpful only at higher risk levels, and international stocks and commodities add little diversification benefits over the longer time horizon. Overall, our results highlight the difficulties using modern portfolio theory to quantify asset class allocations.
Maher, Matt; White, Harry; Fry, Phil; and Wilkerson, Matt. (2013). "Asset Class Impacts on the 30-Year Efficient Frontier". Journal of Accounting & Finance, 13(2), 28-35.