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Country Asset Allocation

Quantitative Country Selection Strategies in Global Factor Investing

Authors: Zaremba, Adam, Shemer, Jacob

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  • Provides an accessible and critical review of up-to-date literature on factor investing
  • Offers a practical guide to country-level asset allocation
  • Presents various portfolio performances based on described investment strategies
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eBook $69.99
price for USA (gross)
  • ISBN 978-1-137-59191-3
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $129.00
price for USA
  • ISBN 978-1-137-59190-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $89.99
price for USA
  • ISBN 978-1-349-93034-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

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.

About the authors

Adam Zaremba is Assistant Professor at the PoznaƄ 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.

Table of contents (15 chapters)

Table of contents (15 chapters)

Buy this book

eBook $69.99
price for USA (gross)
  • ISBN 978-1-137-59191-3
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $129.00
price for USA
  • ISBN 978-1-137-59190-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $89.99
price for USA
  • ISBN 978-1-349-93034-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.

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Bibliographic Information

Bibliographic Information
Book Title
Country Asset Allocation
Book Subtitle
Quantitative Country Selection Strategies in Global Factor Investing
Authors
Copyright
2017
Publisher
Palgrave Macmillan US
Copyright Holder
The Editor(s) (if applicable) and The Author(s)
eBook ISBN
978-1-137-59191-3
DOI
10.1057/978-1-137-59191-3
Hardcover ISBN
978-1-137-59190-6
Softcover ISBN
978-1-349-93034-0
Edition Number
1
Number of Pages
XVIII, 262
Number of Illustrations
32 b/w illustrations
Topics