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Article

Global Value Investing Delivers Diversification: A Multi-Strategy Perspective

Edward Qian, Eric H Sorensen and Ronald Hua
The Journal of Portfolio Management Winter 2009, 35 (2) 42-49; DOI: https://doi.org/10.3905/JPM.2009.35.2.042
Edward Qian
is the CIO of Macro Strategies of PanAgora Asset Management in Boston, MA.
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  • For correspondence: eqian@panagora.com
Eric H Sorensen
is the president and CEO of PanAgora Asset Management in Boston, MA.
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  • For correspondence: esorensen@panagora.com
Ronald Hua
is the CIO of Equity of PanAgora Asset Management in Boston, MA.
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  • For correspondence: rhua@panagora.com
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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.
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Global Value Investing Delivers Diversification: A Multi-Strategy Perspective
Edward Qian, Eric H Sorensen, Ronald Hua
The Journal of Portfolio Management Jan 2009, 35 (2) 42-49; DOI: 10.3905/JPM.2009.35.2.042

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Global Value Investing Delivers Diversification: A Multi-Strategy Perspective
Edward Qian, Eric H Sorensen, Ronald Hua
The Journal of Portfolio Management Jan 2009, 35 (2) 42-49; DOI: 10.3905/JPM.2009.35.2.042
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  • Article
    • Abstract
    • METHODOLOGY: INVESTMENT STRATEGY PERFORMANCE
    • STAND-ALONE VALUE STRATEGIES
    • RISK-ADJUSTED PERFORMANCE AND CORRELATION
    • FACTOR EXPOSURE OF VALUE-BASED STRATEGIES
    • MULTI-STRATEGY PERSPECTIVE
    • SUMMARY
    • ENDNOTES
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  • PDF (Subscribers Only)

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