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Time-varying benefits of cross-asset and cross-region portfolio diversification
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Resumo(s)
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.
Investment grade 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.
Descrição
Palavras-chave
Diversification Cross-Asset Cross-Country Correlation