|Research Paper 35|
Country, Sector or Style: What Matters Most When Constructing Global Equity Portfolios? An
Empirical Investigation from 1990-2001.
HAMELINK - Lombard Odier & Cie and Vrije Universiteit
HARASTY - Lombard Odier
Pierre HILLION - Insead (Singapore) and Academic Advisor to Lombard Odier &Cie
Click here to download a .pdf of this paper
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.
SFI Abend Seminar mit Dr. Jörg Osterrieder, Zurich
Thema: Algorithmischer Handel - ein Überblick aus der Sicht der Praxis
SFI Breakfast Seminar with Dr. Jörg Osterrieder, Zurich
Thema: Algorithmic Trading - The Rise of the Machines
11th Annual Meeting, Zurich
Topic: Sustainable Finance Moving Center Stage
From the industry for the industry: Certification for Bank Client Advisors
Asset Management Study Switzerland by zeb und SFI. Asset Management in Switzerland faces huge challenges.
Swiss Finance Institute has attributed its Outstanding Paper Award to “The Impact of Treasury Supply on Financial Sector Lending and Stability”, a research paper by Arvind Krishnamurthy of Stanford University and Annette Vissing-Jorgensen of the University of California Berkeley that studies how government debt crowds out financial sector short-term debt.
Swiss Finance Institute publishes the first comprehensive Swiss study on structured products. The most recent SFI White Paper sheds light on the performance, costs, and investments of structured products.
English version, German version, French version, Italian version
More press releases...
SFI in the news
EPFL: «Why Does Fast Loan Growth Predict Poor Performance for Banks?»
Article referring to how fast loan growth affects the banking sector (27.06.2016)
Schweizer Bank: «Kooperation bei der Kundenberater-Zertifizierung»
Article referring to the cooperation between Swiss Finance Institute, University of Zürich and CYP Association on Certification of Bank Client Advisors (01.07.2016)
L'Agefi: «Le nombre idéal d'ETF sur un marché»
Article referring to research insights by Prof. Semyon Malamud (02.06.2016)
Corriere del Ticino: «Pechino Le sfide della transizione cinese»
Article referring to an SFI seminar with Prof. Fabrizio Zilibotti (31.05.2016)
NZZ: «Strukturierte Produkte ein etablierter Portfolio-Baustein»
Article referring to structured products (19.05.2016)
20minuti: «All'USI per parlare di crescita economica cinese»
Article referring to SFI seminar with Prof. Fabrizio Zilibotti on China's economic growth (19.05.2016)
awp: «Drei Schweizer Bildungsinstitute lancieren Zertifizierung von Bankkundenberater»
Article referring to SFI's new launched Certification of Bank Client Advisors (17.05.2016)
More SFI in the news...