-----Forwarded Message----- From: A.Din <[EMAIL PROTECTED]> Subject: Seminar announcement - Geneva Research Collaboration Date: 17 Sep 2002 08:59:39 +0200
You are kindly invited to the next Geneva Research Collaboration seminar Thursday 26 September, 16.30-17.30 hours Room 6-002 building 60 (please observe new room) CERN, Meyrin Note: Participants from outside CERN, please confirm participation by e-mail with name and affiliation. Dr. Foort Hamelink, Lombard Odier Darier Hentsch, Geneva: "Empirical factor analysis of the performance of global equity portfolios" Abstract: Equity returns are believed to be strongly influenced by country, sector and style effects. A key issue is to be able to disentangle those various effects from one another. In particular, differences between country returns may simply reflect differences in the sector composition of country markets, which makes it clearly difficult to disassociate both effects. Similarly, from 1999-2001 the relative performance of Growth versus Value might be solely due to the striking performance of the Technology and Telecommunication sectors. For global equity portfolio managers, it is crucial to identify which factors offer the highest diversification benefits and return potential. We apply a multi-factor approach to estimate "pure" country, sector and style factor returns. Using data going back to 1990, we identify the major changes that have occurred in developed markets until 2001. Our various indicators clearly point out the growing influence of sector factors. However, country effects remain important and there is no clear-cut evidence that sector factors dominate country factors. Style factors such as Growth, Value and Size also remain significant, even once sector and country effects are deduced. Finally, we show that momentum strategies based on sector returns offer substantial gains, while momentum strategies based on country returns do not. These findings suggest that, while diversification and return benefits from sector strategies have become substantial, managers should continue to monitor carefully country as well as style rewards and risks. Useful references: Country, Sector or Style: What matters most when constructing Global Equity Portfolios? An empirical investigation from 1990-2001 by F. Hamelink , H. Harasty and P. Hillion (may be downloaded from the GRC web site) Background information: The Geneva Research Collaboration (GRC) is a non-profit Swiss foundation dedicated to the support of interdisciplinary research in natural and social sciences, to the development of novel economic applications of this research, and to contributing to make Geneva a node of excellence in an international scientific and economic research network. The current research of GRC is concentrated on mathematical and econophysics models applied to financial forecasting, data processing, and risk management. The applications endeavour to use new conceptual model structures which are developed into operational tools through the integration of advanced computing technique For further information please consult the GRC web site: www.genevaresearch.org -- http://www-internal.alphanet.ch/linux-leman/ avant de poser une question. Ouais, pour se désabonner aussi.
