HOME | SITE MAP | SEARCH | CONTACT | CUG | OLAT | EXTRANET
EDUCATIONPHD PROGRAMFACULTY & RESEARCHSTUDENTS & ALUMNIKNOWLEDGE CENTERABOUT US
Research Centers
Faculty
Faculty Expertise Overview
Research Projects
Publications
Research Paper Series
SFInsight
SFI Connection
Occasional Paper Series
Academic Publications
Swiss Finance Institute Research Prizes
SFI Research Days
Country, Sector or Style: What Matters Most When Constructing Global Equity Portfolios? An Empirical Investigation from 1990-2001.

Authors
Foort HAMELINK - Lombard Odier & Cie and Vrije Universiteit
Hélène HARASTY - Lombard Odier & Cie
Pierre HILLION - Insead (Singapore) and Academic Advisor to Lombard Odier &Cie

Date
October 2001

Click here to download a .pdf of this paper (1'689 KB).

Abstract
Equity returns are believed to be strongly influenced by country, sector and style effects. A key issue is to be able to disentangle those various effects from one another. In particular, differences between country returns may simply reflect differences in the sector composition of country markets, which makes it clearly difficult to disassociate both effects. Similarly, from 1999-2001 the relative perfor-mance of Growth versus Value might be solely due to the striking performance of the Technology and Telecommunication sectors. For global equity portfolio man-agers, it is crucial to identify which factors offer the highest diversification benefits and return potential. We apply a multi-factor approach to estimate ”pure” coun-try, sector and style factor returns. Using data going back to 1990, we identify the major changes that have occurred in developed markets until 2001. Our various indicators clearly point out the growing influence of sector factors. However, coun-try effects remain important and there is no clear-cut evidence that sector factors dominate country factors. Style factors such as Growth, Value and Size also remain significant, even once sector and country effects are deduced. Finally, we show that momentum strategies based on sector returns offer substantial gains, while momen-tum strategies based on country returns do not. These findings suggest that, while diversification and return benefits from sector strategies have become substantial, managers should continue to monitor carefully country as well as style rewards and risks.

Event

20.08.2014
Lunch & Learn @ SFI
Informationsveranstaltung, Zurich

29.08.2014
SFI Industry Forum, Lugano
Topic: Opportunities and Challenges in Asset Management

More events


Press releases

08.05.2014
Swiss Finance Institute held, in partnership with McKinsey & Company and the Swiss Bankers Association, a half-day conference on: "Banking services for Swiss companies: needs, availability and trends".
English version / German version

09.04.2014
Swiss Finance Institute publishes its first White Paper, "The Extra Cost of Swiss Banking Regulation," by Professor Jean-Charles Rochet
English version / German version


17.03.2014
IAZI AG und Swiss Finance Institute lancieren CAS in Real Estate Finance

More press releases...


SFI in the news

Le Temps: Des stratégies de placement piégées par l'après-krach boursier
Article about SFI Outstanding Paper Award winners Tobias Moskowitz and Kent Daniel (14.07.2014)

Le Temps: La finance chinoise montre des signes inquiétants
Article by SFI Professors Eric Jondeau and Michael Rockinger (23.06.2014)

Coller Institute Findings Summer Edition: Second Hand, Second Rate?
SFI Senior Chair François Degeorge participated in a round-table discussion on secondary buyouts (26.06.2014)

Finanz Platz: Neue Geschäftsmodelle im Private Banking
Article by SFI Adjunct Professor Teodora Cocca (20.06.2014)

© 2014 SwissFinanceInstitute | All rights reserved | Disclaimer