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Sep 08 2017

Momentum-Based Country Rotation: EM Vs. DM

  • Sep 8, 2017

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…

  • Nov 7, 2013

That leads us to think more about price momentum as an alpha-generating factor.