{"title":"Overlapping portfolio holdings and unique sources of emerging market risk","authors":"Aleksandr Tomtosov","doi":"10.1016/j.bir.2023.12.003","DOIUrl":null,"url":null,"abstract":"<div><p>Momentum, size, and low volatility in emerging markets regularly exhibit increased correlations across factors and markets in periods of negative returns. I provide a framework to distinguish a unique source of risk from a set of factors in the stage of portfolio formation. The framework is based on discarding duplicate positions that exceed half the portfolios in periods of factor comovement. Unique factors eliminate rising correlation and factor crashes. The results are robust for the most recent financial shocks. For practitioners, the approach helps in distinguishing original investment strategies and provides opportunities for active management in emerging markets.</p></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 1","pages":"Pages 201-217"},"PeriodicalIF":7.1000,"publicationDate":"2024-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2214845023001540/pdfft?md5=ddfef3811b09324f6b7357f864ac940b&pid=1-s2.0-S2214845023001540-main.pdf","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Borsa Istanbul Review","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2214845023001540","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
Momentum, size, and low volatility in emerging markets regularly exhibit increased correlations across factors and markets in periods of negative returns. I provide a framework to distinguish a unique source of risk from a set of factors in the stage of portfolio formation. The framework is based on discarding duplicate positions that exceed half the portfolios in periods of factor comovement. Unique factors eliminate rising correlation and factor crashes. The results are robust for the most recent financial shocks. For practitioners, the approach helps in distinguishing original investment strategies and provides opportunities for active management in emerging markets.
期刊介绍：
Peer Review under the responsibility of Borsa İstanbul Anonim Sirketi. Borsa İstanbul Review provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. Micro and macro data applications and comparative studies are welcome. Country coverage includes advanced, emerging and developing economies. In particular, we would like to publish empirical papers with significant policy implications and encourage submissions in the following areas: Research Topics: • Investments and Portfolio Management • Behavioral Finance • Financial Markets and Institutions • Market Microstructure • Islamic Finance • Financial Risk Management • Valuation • Capital Markets Governance • Financial Regulations
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