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What Next? Combining and Improving Country Selection Strategies

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Country Asset Allocation

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Abstract

In this chapter Zaremba and Shemer show that the quantitative country asset allocation strategies based on value, size, momentum, risk, and quality effects could efficiently combine with each other leading to reduction of risk. While some strategies seem influenced by the January anomaly, market-wide measures of investor sentiment and limits on arbitrage, the returns on country selection strategies display visible momentum effect.

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Author information

Authors and Affiliations

  1. Poznan University of Economics and Business, Poznan, Poland

    Adam Zaremba

  2. AlphaBeta, Tel Aviv, Israel

    Jacob Shemer

Authors
  1. Adam Zaremba
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  2. Jacob Shemer
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Zaremba, A., Shemer, J. (2017). What Next? Combining and Improving Country Selection Strategies. In: Country Asset Allocation. Palgrave Macmillan, New York. https://doi.org/10.1057/978-1-137-59191-3_14

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  • DOI: https://doi.org/10.1057/978-1-137-59191-3_14

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  • Publisher Name: Palgrave Macmillan, New York

  • Print ISBN: 978-1-137-59190-6

  • Online ISBN: 978-1-137-59191-3

  • eBook Packages: Economics and FinanceEconomics and Finance (R0)

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