Time-varying benefits of cross-asset and cross-region portfolio diversification
Carregando...
Arquivos
Data
2017-09-25
Autores
Orientador(res)
Sampaio, Joelson Oliveira
Métricas
Título da Revista
ISSN da Revista
Título de Volume
Resumo
The thesis uses return data on equities, bonds, commodities and real estate for the U.S., Europe, Asia and Latin America to examine diversification potentials. The analysis focuses on benefits of cross-asset and cross-region diversification as well as the impact of financial distress on those strategies and portfolio performances. It concludes that diversification benefits vary over time and decrease in bear markets due to higher correlation. Investmentgrade bonds and gold have shown the highest diversification benefits for equity investors during financial distress. Assets from emerging markets seem to be less sensitive to global market drops and show more constant performances.