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Capturing Differences in Global Value
Sep 9, 2011
The globalization of investing has led to more and more equity managers finding opportunities outside their home market and applying their strategies abroad. These investors need a risk model that can simultaneously capture broad sources of risk across countries and sectors, but still capture the details of the home market. This case study focuses on a Japan-based global value manager who invests 50% of assets domestically. Value stocks behave quite differently in Japan than they do abroad. We show that a model which captures these differences can have a significant impact on the manager’s performance.