| Tekijä: | Lin, W. |
| Otsikko: | Controlling risk in global multimanager portfolios |
| Lehti: | Financial Analysts' Journal
2000 : JAN/FEB, VOL. 56:1, p. 44-53 |
| Asiasana: | Stock markets Portfolio management Risk Control |
| Kieli: | eng |
| Tiivistelmä: | The issue of country and sector effects is important for portfolio construction and risk management. This article focuses on analyzing managed portfolios using global data. The relative effects of country vs. sector bets on excess-return variations is examined. Alternative portfolio construction strategies by using optimization and simulation methods are evaluated. It is found that active country exposure is a larger driver of variations in individual managers' excess returns than is active sector exposure. Using this information, money managers can learn current investment industry trends in country and sector selection and fund managers can construct their multimanager portfolios to reduce tracking error. |
SCIMA