• Rupture de stock

Global Style Portfolios Based on Country Indices [extrait BMI HS_BMI_2014]

Author :
47,39 €
Quantité
Add to wishlist
Rupture de stock

Version numérique PDF

Factor portfolios created by dynamically weighting country indices generated significant global market adjusted returns over the last thirty years. The comparison between stock and country based factor portfolios suggests that country based value, size and momentum factor portfolios implemented through index futures or country ETFs capture a large part of the return of stock based factor strategies. Given the complex issues and costs involved in implementing stock based factor strategies in practice, country based factor strategies offer a viable alternative. The behavior of the market and factor portfolios is dependent on the risk regime. A regime-dependent dynamic global factor portfolio outperforms the world equity market portfolio. The outperformance, in and out of sample, is robust to transaction costs and alternative portfolio construction methodologies.Keywords: Diversification benefits ; Factor returns ; Regime switching models.JEL codes: G11; G15.

Auteurs :Angelidis Timotheos
Extrait de la revue BMI HS_BMI_2014

BMIHS_BMI_2014-1117004
Nouveau

16 autres produits dans la même catégorie :

Bankers, Markets &...
  • Rupture de stock
Availability: Out of stock

Sommaire

Articles

  • Editor’s letter
  • HFT and Market Quality
  • On the Financial Performance of Socially Responsible Investments
  • Pension Reform in The Netherlands: Attractive Options for other Countries?
  • French Pensions Framework in an International Perspective
  • Optimal Asset Allocation for Sovereign Wealth Funds: Theory and Practice
  • Asset Class Liquidity Risk
This website uses cookies to ensure you get the best experience on our website