A dramatic shift of country weights within EM indexes has become an inadvertent challenge for a country rotation strategy. Due to this, we tested the integration of a momentum-based sector rotation model to attain exposure to the top-rated sectors to represent the markets of the largest country components instead of seeking to obtain “whole market” exposure.
Mar
06
2020
Enhancing Country Rotation With Sector Concentrations
tags
Country Rotation Portfolio Emerging Markets Sector Selection Model Momentum EM Country RotationLogin
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