Time-varying benefits of cross-asset and cross-region portfolio diversification

Detalhes bibliográficos
Autor(a) principal: Gorny, Moritz Fabio
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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spelling 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
instname_str 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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