Click to login and read the full article.
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
EMEA: +44 0207 139 1600
Abstract
Not all value strategies are created equal; that is, correlations among different value strategies and among similar value strategies across markets are, in general, low. Thus, to preserve market neutrality and reduce exposure to volatility, investors need to augment value strategies and adopt a multi-strategy approach. Some exposures, however, are common to value strategies and are not diversified away. Among these exposures are value premiums and volatility jumps. The authors present their findings of value-based strategies in several markets, including top-down country allocation in equities, bonds, and currencies, and bottom up stock selection in the U.S., Japan, and Germany. The focus of the authors’ research is on the correlations among these strategies and their exposures to select market factors.
- © 2009 Institutional Investor, Inc.
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600