Research Library
The Value of a Gamma-Efficient Portfolio
By David Blanchett, Paul Kaplan | 25 October 2017
In 2013, we introduced gamma, a new metric designed to quantify the value of more intelligent financial planning decisions, with a focus on the potential benefits of working with a financial advisor (Blanchett and Kaplan, 2013). This paper revisits gamma, but with a relatively narrow scope: to quantify the potential benefits of implementing a gamma-efficient portfolio strategy for an investor; i.e., to measure the gamma of investing decisions. We do this using a framework of seven questions an investor should consider during the portfolio construction process. This framework is far more comprehensive than simply selecting a few mutual funds.
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