Combining Equity Country Selection Strategies
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Author | : Adam Zaremba |
Publisher | : |
Total Pages | : 20 |
Release | : 2017 |
Genre | : |
ISBN | : |
Download Combining Equity Country Selection Strategies Book in PDF, Epub and Kindle
The recent increase in passive investment products has provided investors with easy access to international markets. The basic motivation of this paper is to offer new tools to investors who want to allocate assets across countries. This study investigates the performance of equity country selection strategies based on a combination of theoretically and empirically motivated variables. Thus, we create portfolios and assess their performance using asset pricing models. The empirical examination is based on data from 78 countries from 1999 to 2015. The strategies that are based on the earnings-toprice (EP) ratio, the turnover ratio, and skewness prove to be useful tools for international investors. Furthermore, portfolios from sorts on the blended rankings of skewness combined with the EP ratio or the turnover ratio are also characterized by an attractive risk-return ratio. However, joint strategies do not outperform strategies that are based on single metrics. Consequently, we argue that investors would be better off building a diversified portfolio rather than combining their options into one strategy because of the low correlation among returns on single-variable strategies.
Author | : Adam Zaremba |
Publisher | : Springer |
Total Pages | : 270 |
Release | : 2016-10-26 |
Genre | : Business & Economics |
ISBN | : 1137591919 |
Download Country Asset Allocation Book in PDF, Epub and Kindle
This book demonstrates how quantitative country-level investment strategies can be successfully employed to manage money in international markets. It offers a range of state-of-the-art quantitative strategies, describing their theoretical bases, implementation details, and performance in over 70 countries between 1995 and 2015. International diversification has long been a key to stable investing. However, the increased integration and openness of global financial markets has led to rising correlations between stock market returns in particular countries, driving down the benefits of diversification and increasing the importance of country selection strategies as part of an investment process. Zaremba and Shemer explain the efficiency of quantitative investing, which captures huge amounts of data of limited scope very quickly. In the traditional approach, this data compilation is an immense undertaking, limited in scope and vulnerable to behavioral errors, but this can be overcome with the help of a new paradigm of quantitative investment at the country level. Quantitative country asset allocation can be efficiently accomplished by using wealth insights that have been generated in the academic literature, discovering many anomalies and regular patterns in asset prices. Armed with this information, investors and managers can process large amounts of data more efficiently when deciding to invest in ETFs, index funds, or futures markets.
Author | : Ross Paul Bruner |
Publisher | : Routledge |
Total Pages | : 278 |
Release | : 2014-01-27 |
Genre | : Business & Economics |
ISBN | : 1135916861 |
Download Global Equity Selection Strategies Book in PDF, Epub and Kindle
Over the past several years, the field of international investing has been transformed by a host of new, state-of-the-art techniques. Quantitative Investing for the Global Markets is the definitive handbook for money and portfolio managers, research analysts, pension consultants, corporate treasurers, and other professionals seeking a competitive edge in the global investment marketplace. Topics include: international asset allocation; optimum diversification levels; style analysis and evaluation; market neutral strategies; global stock valuation; advanced strategies for hedging currency risk; international benchmarking; etc.
Author | : Adam Zaremba |
Publisher | : |
Total Pages | : |
Release | : 2015 |
Genre | : |
ISBN | : |
Download Country Selection Strategies Based on Value, Size and Momentum Book in PDF, Epub and Kindle
This study provides convincing evidence that stock markets with low capitalisation, low valuation ratios and high momentum tend to outperform country markets with high capitalisation, high valuation ratios and low momentum. Based on sorting procedures and cross-sectional tests conducted across 78 countries over the period 1999-2014, it has been found out that value, size and momentum effects at the country level are stronger across small and medium country markets than large ones. Thus, bearing in mind the declining benefits of international diversification observed in recent decades, it is recommended that investors include country-level factor premiums in their strategic asset allocation, without postponing them to further stages of an investment process. In addition, it has been shown that inter-market value, size and momentum effects may be used in multifactor asset pricing models, which well explain the variation in stock returns at the country level.
Author | : Peter J. B. Hopkins |
Publisher | : Wiley |
Total Pages | : 88 |
Release | : 2001-11-28 |
Genre | : Business & Economics |
ISBN | : 9780943205526 |
Download Country, Sector, and Company Factors in Global Equity Portfolios Book in PDF, Epub and Kindle
Indispensible to anyone who is charged with the responsibility of forecasting returns, estimating risk, or structuring efficient portfolios in the global arena, this book is an invaluable reference. Hopkins and Miller combine clear and thorough descriptions of a variety of statistical methods while analysizing four dimensions of global equity portfolios: countries, sectors, industries and companies.
Author | : Emmanuel Jurczenko |
Publisher | : Elsevier |
Total Pages | : 488 |
Release | : 2015-11-24 |
Genre | : Business & Economics |
ISBN | : 0081008112 |
Download Risk-Based and Factor Investing Book in PDF, Epub and Kindle
This book is a compilation of recent articles written by leading academics and practitioners in the area of risk-based and factor investing (RBFI). The articles are intended to introduce readers to some of the latest, cutting edge research encountered by academics and professionals dealing with RBFI solutions. Together the authors detail both alternative non-return based portfolio construction techniques and investing style risk premia strategies. Each chapter deals with new methods of building strategic and tactical risk-based portfolios, constructing and combining systematic factor strategies and assessing the related rules-based investment performances. This book can assist portfolio managers, asset owners, consultants, academics and students who wish to further their understanding of the science and art of risk-based and factor investing. Contains up-to-date research from the areas of RBFI Features contributions from leading academics and practitioners in this field Features discussions of new methods of building strategic and tactical risk-based portfolios for practitioners, academics and students
Author | : Charles Albert Michalet |
Publisher | : World Bank Publications |
Total Pages | : 50 |
Release | : 1997-01-01 |
Genre | : Business & Economics |
ISBN | : 9780821341612 |
Download Strategies of Multinationals and Competition for Foreign Direct Investment Book in PDF, Epub and Kindle
Is there a trade-off among countries in attracting foreign direct investment (FDI)? And, in particular, has the opening up of Central and Eastern Europe diverted FDI that otherwise would have gone to developing countries? To answer these questions, FIAS c
Author | : NA NA |
Publisher | : Springer |
Total Pages | : 271 |
Release | : 2015-12-25 |
Genre | : Business & Economics |
ISBN | : 1349815292 |
Download Employment, Income Distribution and Development Strategy: Problems of the Developing Countries Book in PDF, Epub and Kindle
Author | : David Garff |
Publisher | : |
Total Pages | : 28 |
Release | : 2013 |
Genre | : |
ISBN | : |
Download Multi-Style Global Equity Investing Book in PDF, Epub and Kindle
The majority of factor analysis to-date has been isolated to the individual equity markets or in a cross-asset class framework, with very little literature that analyzes these factors across the equity markets of different countries. The goal of the study is to add to the body of research by exploring an additional question: Does a multi-style investment strategy add value when analyzed across a universe of countries?
Author | : United States. Congress. Senate. Committee on Interior and Insular Affairs |
Publisher | : |
Total Pages | : 1700 |
Release | : 1954 |
Genre | : Strategic materials |
ISBN | : |
Download Stockpile and Accessibility of Strategic and Critical Materials to the United States in Time of War Book in PDF, Epub and Kindle