Global Value Investing Delivers Diversification: A Multi-Strategy Perspective

In this article the authors examine our findings about the importance of diversification in a multi-strategy for which all the individual strategies are value-centric. One of our key findings was that correlations among different value strategies are relatively low. Additionally, we found that they depend on exogenous market conditions, such as overall financial asset returns and volatility. This has interesting implications when considering market neutral multi-strategies. We considered top-down country allocation in developed and emerging market equities, bonds, and currencies as well as bottom-up stock selection in large cap and small cap stocks in the US, Japan, and Germany.