International Diversification: The Weighting is the Hardest Part
针对传统国际分散化方法忽视经济一体化与市场相关性的问题，提出贸易调整权重法，发现其比GDP权重和等权重组合在风险调整收益上表现更优，对投资经理构建组合有参考价值。
Many traditional, international diversification approaches do not address the influence of economic integration and corresponding market correlations across countries. The authors develop a trade-adjusted weighting methodology that reduces the effect of economic integration on portfolio performance. Results demonstrate that the trade-adjusted portfolio outperforms a GDP-weighted portfolio in terms of risk-adjusted returns. Likewise, the trade-adjusted portfolio’s performance exceeds that of an equally weighted portfolio in most risk-adjusted measures. These results provide a strong argument for investment managers to use trade-adjusted weightings in forming portfolios and developing financial products. <b>TOPICS:</b>Global, portfolio construction, portfolio management/multi-asset allocation