Country Asset Allocation (eBook)

Quantitative Country Selection Strategies in Global Factor Investing

Adam Zaremba, Jacob Shemer (Autoren)

eBook Download: PDF

2016 | 1st ed. 2017
XVIII, 262 Seiten
Palgrave Macmillan US (Verlag)
978-1-137-59191-3 (ISBN)

Infos

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.

Adam Zaremba is Assistant Professor at the Poznań University of Economics and Business, Poland. He is an economist, adviser, and portfolio manager for investment management companies. Zaremba has written numerous research papers on financial markets and is also an individual investor with many years' experience.

Koby (Jacob) Shemer is an experienced asset manager in the Israeli Capital Market. He is the founder of Analyst IMS, a public asset management firm, and AlphaBeta, a quantitative asset management company. During his career he has been responsible for managing portfolios of assets under management totaling billions in US dollars.

Inhalt

PART I1. Value versus Growth: Is Buying Cheap Always a Bargain?2. Trend is your Friend: Momentum Investing3. Is Small Beautiful? Size Effect in Stock Markets4. Is Risk Always Rewarded? Low-Volatility Anomalies5. Is a Good Company a Good Investment? Quality InvestingPART II6. Testing Country Allocation Strategies7. A Short Primer on International Equity Investing8. Value-Oriented Country Selection9. Momentum Effect across Countries10. Small-Country Effect11. Risk-Based Country Asset Allocation12. Country Selection Based on Quality13. What Next? Combining and Improving Country Selection Strategies

Produkt-Details

• Erscheint lt. Verlag: 26.10.2016
• Zusatzinfo: XVIII, 262 p. 32 illus.
• Verlagsort: New York
• Sprache: englisch
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre ► Finanzwissenschaft
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre ► Makroökonomie
• Schlagworte: Asset Pricing • Banking • Econometrics • Economics • Exchange Traded Funds • Exchange Trade Funds • Futures • growth • Investment • Investments • liquidity • low-risk anomaly • Portfolio • Pricing • Securities • size effect • small-cap effect • Stock market anomalies • tactical asset allocation • Value Investing • Volatility
• ISBN-10: 1-137-59191-9 / 1137591919
• ISBN-13: 978-1-137-59191-3 / 9781137591913