@article {Cavaglia10, author = {Stefano M.F.G Cavaglia and James Sefton and Alan Scowcroft and Bryn Smith}, title = {Global Style Investing}, volume = {32}, number = {4}, pages = {10--22}, year = {2006}, doi = {10.3905/jpm.2006.644188}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Value-tilted global equity portfolios that are either region-neutral or industry-neutral have particular risk and return properties relative to the world index. Over 1993-2005, a global country-neutral value-tilted investment strategy earned a premium of about 1.5\% per year over the world return: this comes as a result of bearing some systematic cyclical risk that is highly correlated with the performance of particular industries and also with growth-like factors. A global industry-neutral value-tilted investment strategy offers a similar return payoff but with less volatility; this return premium does not appear to be associated with any of the systematic risk factors considered, so an industry-neutral strategy seems to be the more appropriate for capturing the global value premium. Index vendors might consider constructing benchmarks that reflect this investment style.TOPICS: Style investing, global, mutual funds/passive investing/indexing}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/32/4/10}, eprint = {https://jpm.pm-research.com/content/32/4/10.full.pdf}, journal = {The Journal of Portfolio Management} }