Abstract

http://ssrn.com/abstract=1564186
 
 

References (27)



 


 



International Diversification Works (Eventually)


Clifford S. Asness


AQR Capital Management, LLC

Roni Israelov


AQR Capital Management, LLC

John M. Liew


AQR Capital Management, LLC

March 3, 2010


Abstract:     
Investors and financial economists have long debated the benefits of global equity market diversification. Fans argue that diversifying globally reduces portfolio risk without harming long-term return. Some critics counter with the observation that because markets get more correlated during downturns, most of the diversification occurs on the upside when you do not need it, and vanishes on the downside when you do. Certainly, recent events give support to the critics as all equity markets suffered at the same time. We argue that this observation, while true, misses the big picture. International diversification might not protect you from terrible days, months, or even years, but over longer horizons (which should be more important to investors) where underlying economic growth matters more to returns than short-lived panics, it protects you quite well.

Keywords: Diversification, International Diversification, Global Diversification, Home Bias

JEL Classification: G11,G15

working papers series





Not Available For Download

Date posted: March 5, 2010 ; Last revised: February 25, 2011

Suggested Citation

Asness, Clifford S. and Israelov, Roni and Liew, John M., International Diversification Works (Eventually) (March 3, 2010). Available at SSRN: http://ssrn.com/abstract=1564186

Contact Information

Cliff S. Asness
AQR Capital Management, LLC ( email )
Two Greenwich Plaza, 3rd Floor
Greenwich, CT 06830
United States
203-742-3601 (Phone)
203-742-3101 (Fax)
HOME PAGE: http://www.aqrcapital.com
Roni Israelov (Contact Author)
AQR Capital Management, LLC ( email )
Two Greenwich Plaza, 3rd Floor
Greenwich, CT 06830
United States
HOME PAGE: http://www.aqrcapital.com
John M. Liew
AQR Capital Management, LLC ( email )
2 Greenwich Plaza
3rd floor
Greenwich, CT 06830
United States
(203) 742-3604 (Phone)
(203) 742-3104 (Fax)
HOME PAGE: http://www.aqr.com
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