Rotation
Sep
08
2017
Momentum-Based Country Rotation: EM Vs. DM
Last month we assessed the effectiveness of using valuation factors as a basis for country allocation. Using 20 years of data, our results showed that they work quite well specifically for Emerging Market (EM) country-rotation, however, the same valuation-based strategy does not appear to be value-added for Developed Market (DM) allocation/rotation.
Nov
07
2013
Introducing A New Regional Equity Model…
That leads us to think more about price momentum as an alpha-generating factor.
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