Accounting for Geographic Exposure in Performance and Risk Reporting for Equity Portfolios

Noël Amenc, Kumar Gautam, Felix Goltz, Nicolas Gonzalez, Jan-Philip Schade: A standard practice in reporting geographic exposure of equity portfolios is to report breakdown of portfolio constituents by country or region, which are assigned to a stock based on its place of listing, incorporation or headquarters.

Author(s):

Noel Amenc

Professor of finance at EDHEC Business School, director of EDHEC-Risk Institute, and chief executive officer of ERI Scientific Beta.

Kumar Gautam

Quantitative Analyst at ERI Scientific Beta.

Felix Goltz

Head of Applied Research at EDHEC-Risk Institute.

Nicolas Gonzalez

Senior Quantitative Analyst at ERI Scientific Beta.

Jan-Philip Schade

Quantitative Analyst for Indices & Benchmarks within the internship programme at EDHEC-Risk Institute,

However, the practice is questionable in the context of a globalised marketplace where a company's operations are usually not restricted to any single country (or region). Moreover, now that accounting standards have made firm-level data on business activity across different geographies widely available, a natural question is whether such data can be used to obtain more meaningful geographic exposure reporting of equity portfolios.

Type: EDHEC Publication
Date: le 10/03/2015
Research Cluster : Finance

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