Time-varying benefits of cross-asset and cross-region portfolio diversification
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/19010 |
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. |
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Gorny, Moritz FabioEscolas::EESPPrado, Melissa PorrasMajor, Maria João Martins FerreiraSampaio, Joelson Oliveira2017-10-24T12:05:21Z2017-10-24T12:05:21Z2017-09-25http://hdl.handle.net/10438/19010The 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.A tese utiliza dados de retorno sobre ações, títulos, commodities e imóveis para os EUA, Europa, Ásia e América Latina para examinar os potenciais de diversificação. A análise centra-se nos benefícios da diversificação entre ativos e entre regiões, bem como o impacto do sofrimento financeiro nessas estratégias e desempenhos da carteira. Conclui que os benefícios da diversificação variam ao longo do tempo e diminuem nos mercados ostentosos devido à maior correlação. Os títulos de grau de investimento e o ouro mostraram os maiores benefícios de diversificação para os investidores de capital durante o sofrimento financeiro. Os ativos dos mercados emergentes parecem ser menos sensíveis às quedas do mercado global e mostram performances mais constantes.engDiversificationCross-AssetCross-CountryCorrelationDiversificaçãoCorrelaçãoEconomiaDerivativos (Finanças)Mercado de capitaisInvestimentos - AdministraçãoMercado de opçõesTime-varying benefits of cross-asset and cross-region portfolio diversificationinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessTEXTFGV_WORKPROJECT_FINAL.pdf.txtFGV_WORKPROJECT_FINAL.pdf.txtExtracted 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dc.title.eng.fl_str_mv |
Time-varying benefits of cross-asset and cross-region portfolio diversification |
title |
Time-varying benefits of cross-asset and cross-region portfolio diversification |
spellingShingle |
Time-varying benefits of cross-asset and cross-region portfolio diversification Gorny, Moritz Fabio Diversification Cross-Asset Cross-Country Correlation Diversificação Correlação Economia Derivativos (Finanças) Mercado de capitais Investimentos - Administração Mercado de opções |
title_short |
Time-varying benefits of cross-asset and cross-region portfolio diversification |
title_full |
Time-varying benefits of cross-asset and cross-region portfolio diversification |
title_fullStr |
Time-varying benefits of cross-asset and cross-region portfolio diversification |
title_full_unstemmed |
Time-varying benefits of cross-asset and cross-region portfolio diversification |
title_sort |
Time-varying benefits of cross-asset and cross-region portfolio diversification |
author |
Gorny, Moritz Fabio |
author_facet |
Gorny, Moritz Fabio |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Prado, Melissa Porras Major, Maria João Martins Ferreira |
dc.contributor.author.fl_str_mv |
Gorny, Moritz Fabio |
dc.contributor.advisor1.fl_str_mv |
Sampaio, Joelson Oliveira |
contributor_str_mv |
Sampaio, Joelson Oliveira |
dc.subject.eng.fl_str_mv |
Diversification Cross-Asset Cross-Country Correlation |
topic |
Diversification Cross-Asset Cross-Country Correlation Diversificação Correlação Economia Derivativos (Finanças) Mercado de capitais Investimentos - Administração Mercado de opções |
dc.subject.por.fl_str_mv |
Diversificação Correlação |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Derivativos (Finanças) Mercado de capitais Investimentos - Administração Mercado de opções |
description |
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. |
publishDate |
2017 |
dc.date.accessioned.fl_str_mv |
2017-10-24T12:05:21Z |
dc.date.available.fl_str_mv |
2017-10-24T12:05:21Z |
dc.date.issued.fl_str_mv |
2017-09-25 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/19010 |
url |
http://hdl.handle.net/10438/19010 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
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repository.mail.fl_str_mv |
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