By Peter J. B. Hopkins
Indispensible to an individual who's charged with the accountability of forecasting returns, estimating chance, or structuring effective portfolios within the international area, this ebook is a useful reference. Hopkins and Miller mix transparent and thorough descriptions of numerous statistical tools whereas analysizing 4 dimensions of world fairness portfolios: international locations, sectors, industries and firms.
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Extra info for Country, Sector, and Company Factors in Global Equity Portfolios
Indeed, the time-series tests in Chapter 1 showed that the correlations within certain countries and sectors can be quite high, which reduces the independence of decisions made within those countries and sectors. For example, choosing between two energy stocks, such as British Petroleum and Royal Dutch/Shell Group, carries a lower degree of independence than, say, choosing between Marks & Spencer and Philips Electronics, two consumer discretionary stocks. In fact, we propose that breadth can be scaled by using the correlations we found in the “Time-Series Tests” section.
3. Cluster Analysis for Full Period, January 1993–December 2000 (continued) Cluster 7 European Financials Country, Sector, and Company Factors in Global Equity Portfolios ©2001, The Research Foundation of AIMR™ Cluster 1 Southeast Asia Cluster 2 Japan Cluster 3 European TMT (mostly) B. 3. Cluster Analysis for Full Period, January 1993–December 2000 (continued) Cluster 7 European Financials Geography versus Sectors and Industries ©2001, The Research Foundation of AIMR™ 31 32 HK: Utilities HK: Capital goods Spain: Telecommunication services Sweden: Commercial services and supplies Netherlands: Consumer durables and apparel HK: Media France: Technology hardware and equipment Germany: Capital goods Italy: Telecommunication services Netherlands: Software and services UK: Software and services France: Software and services Italy: Media Germany: Telecommunication services France: Media France: Telecommunication services Sweden: Telecommunication services Netherlands: Telecommunication services Cluster 5 European TMT Sweden: Technology hardware and equipment Japan: Diversified financials Japan: Banks Japan: Real estate Japan: Retailing Japan: Household and personal products Japan: Pharmaceuticals and biotechnology Japan: Utilities Japan: Food and drug retailing Japan: Transportation Japan: Energy Japan: Capital goods Japan: Materials Cluster 4 Japan Singapore: Media Singapore: Capital goods Canada: Materials HK: Transportation Singapore: Food, beverage, and tobacco Australia: Materials HK: Hotels, restaurants, and leisure Singapore: Transportation UK: Consumer durables and apparel HK: Banks Netherlands: Energy Australia: Energy US: Transportation HK: Real estate France: Energy UK: Energy US: Energy Canada: Energy Cluster 3 Energy and Resources Singapore: Hotels, restaurants, and leisure US: Insurance Canada: Banks HK: Diversified financials US: Diversified financials Singapore: Real estate Singapore: Diversified financials US: Banks Cluster 2 North American Financials Singapore: Retailing Cluster 1 Southeast Asia A.
That is, in this method, one cluster is formed at a time. Clusters may merge together with other clusters or simply have a new cell appended. The method works essentially from the highest correlation down to the lowest. 30 or below and combinations no longer assist in the analysis. 30. In addition, because the other tests strongly suggested an increase in the importance of industries over countries since 1997, we conducted cluster analysis for the period January 1997 through December 2000 alone.
Country, Sector, and Company Factors in Global Equity Portfolios by Peter J. B. Hopkins