Country Asset Allocation

Quantitative Country Selection Strategies in Global Factor Investing
Buch | Hardcover
262 Seiten
2016 | 1st ed. 2017
Palgrave Macmillan (Verlag)
978-1-137-59190-6 (ISBN)

Lese- und Medienproben

Country Asset Allocation - Adam Zaremba, Jacob Shemer
128,35 inkl. MwSt
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.

1. Value versus Growth: Is Buying Cheap Always a Bargain?.- 2. Trend is your Friend: Momentum Investing.- 3. Is Small Beautiful? Size Effect in Stock Markets.- 4. Is Risk Always Rewarded? Low-Volatility Anomalies.- 5. Is a Good Company a Good Investment? Quality Investing.- 6. Testing Country Allocation Strategies.- 7. A Short Primer on International Equity Investing.- 8. Value-Oriented Country Selection.- 9. Momentum Effect across Countries.- 10. Small-Country Effect.- 11. Risk-Based Country Asset Allocation.- 12. Country Selection Based on Quality.- 13. What Next? Combining and Improving Country Selection Strategies.

Erscheinungsdatum
Zusatzinfo 32 Illustrations, black and white; XVIII, 262 p. 32 illus.
Verlagsort Basingstoke
Sprache englisch
Maße 148 x 210 mm
Themenwelt Sachbuch/Ratgeber Beruf / Finanzen / Recht / Wirtschaft Wirtschaft
Wirtschaft Betriebswirtschaft / Management Finanzierung
Wirtschaft Volkswirtschaftslehre Makroökonomie
Wirtschaft Volkswirtschaftslehre Ökonometrie
Schlagworte low-risk anomaly • size effect • small-cap effect • Stock market anomalies • tactical asset allocation • Value Investing
ISBN-10 1-137-59190-0 / 1137591900
ISBN-13 978-1-137-59190-6 / 9781137591906
Zustand Neuware
Haben Sie eine Frage zum Produkt?
Mehr entdecken
aus dem Bereich
die Biografie

von Walter Isaacson

Buch | Hardcover (2023)
C.Bertelsmann (Verlag)
38,00