HOME | SITE MAP | SEARCH | CONTACT | CUG | OLAT | EXTRANET
EDUCATIONPHD PROGRAMFACULTY & RESEARCHSTUDENTS & ALUMNIKNOWLEDGE CENTERABOUT US
   
SFI logo
Research Centers
Faculty
Faculty Expertise Overview
Research Projects
Publications
Academic Publications
Swiss Finance Institute Research Paper Series
Swiss Finance Insight
Connection
Occasional Paper Series
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.

Events

07.09.2016
SFI Abend Seminar mit Dr. Jörg Osterrieder, Zurich
Thema: Algorithmischer Handel - ein Überblick aus der Sicht der Praxis


15.09.2016
SFI Breakfast Seminar with Dr. Jörg Osterrieder, Zurich
Thema: Algorithmic Trading - The Rise of the Machines


04.10.2016
11th Annual Meeting, Zurich
Topic: Sustainable Finance Moving Center Stage


More events


Press releases

17.05.2016
From the industry for the industry: Certification for Bank Client Advisors

19.01.2016
Asset Management Study Switzerland by zeb und SFI. Asset Management in Switzerland faces huge challenges.

12.11.2015
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.
Press Release


19.06.2015
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...

SFI in the press image
© 2016 SwissFinanceInstitute | All rights reserved | Disclaimer