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White Paper

Avoiding Unintended Country Bets in Global Equity Portfolios

April 1, 2011 - Michele L. Aghassi Cliff Asness Oktay Kurbanov Lars N. Nielsen

Country risk is a key driver of individual stock returns, especially in emerging markets. We present several approaches to constructing active global stock portfolios as failing to control for country membership in stock returns may lead to significant misallocation of risk.