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Primary Article

Global Style Investing

Stefano M.F.G Cavaglia, James Sefton, Alan Scowcroft and Bryn Smith
The Journal of Portfolio Management Summer 2006, 32 (4) 10-22; DOI: https://doi.org/10.3905/jpm.2006.644188
Stefano M.F.G Cavaglia
A managing director and head of Global Quantitative Strategies at UBS O'Connor, LLC, in Chicago.
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  • For correspondence: stefano.cavaglia@ubs.com
James Sefton
A senior quantitative analyst at UBS Ltd, London and professor of Economics, Tanaka Business School, Imperial College, London.
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  • For correspondence: james.sefton@ubs.com
Alan Scowcroft
Global head of Quantitative Research at UBS Ltd, London.
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  • For correspondence: alan.scowcroft@ubs.com
Bryn Smith
A quantitative analyst at UBS Ltd, London.
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  • For correspondence: Bryn.smith@ubs.com
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Abstract

Value-tilted global equity portfolios that are either region-neutral or industry-neutral have particular risk and return properties relative to the world index. Over 1993-2005, a global country-neutral value-tilted investment strategy earned a premium of about 1.5% per year over the world return: this comes as a result of bearing some systematic cyclical risk that is highly correlated with the performance of particular industries and also with growth-like factors. A global industry-neutral value-tilted investment strategy offers a similar return payoff but with less volatility; this return premium does not appear to be associated with any of the systematic risk factors considered, so an industry-neutral strategy seems to be the more appropriate for capturing the global value premium. Index vendors might consider constructing benchmarks that reflect this investment style.

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The Journal of Portfolio Management
Vol. 32, Issue 4
Summer 2006
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Global Style Investing
Stefano M.F.G Cavaglia, James Sefton, Alan Scowcroft, Bryn Smith
The Journal of Portfolio Management Jul 2006, 32 (4) 10-22; DOI: 10.3905/jpm.2006.644188

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Global Style Investing
Stefano M.F.G Cavaglia, James Sefton, Alan Scowcroft, Bryn Smith
The Journal of Portfolio Management Jul 2006, 32 (4) 10-22; DOI: 10.3905/jpm.2006.644188
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