International Diversification with Factor Funds

• Main Authors: Eun, Cheol S., Lai, Sandy, De Roon, Frans A., Zhang, Zhe
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2010
• 主題: International diversification; Local factors; Factor funds; Finance and Financial Management; Portfolio and Security Analysis
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/2969; https://ink.library.smu.edu.sg/context/lkcsb_research/article/3968/viewcontent/LaiSZhangZ2010mnsc_pub.pdf

We propose a new investment strategy employing “factor funds” to systematically enhance the mean-variance efficiency of international diversification. Our approach is motivated by the increasing evidence that size (SMB), book-to-market (HML), and momentum (MOM) factors, along with the market factor,...