© 2017

Country Asset Allocation

Quantitative Country Selection Strategies in Global Factor Investing


  • 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


Table of contents

  1. Front Matter
    Pages i-xviii
  2. Adam Zaremba, Jacob Shemer
    Pages 1-6
  3. Part I

    1. Front Matter
      Pages 7-7
    2. Adam Zaremba, Jacob Shemer
      Pages 9-38
    3. Adam Zaremba, Jacob Shemer
      Pages 39-66
    4. Adam Zaremba, Jacob Shemer
      Pages 67-79
    5. Adam Zaremba, Jacob Shemer
      Pages 81-104
    6. Adam Zaremba, Jacob Shemer
      Pages 105-120
  4. Part II

    1. Front Matter
      Pages 121-121
    2. Adam Zaremba, Jacob Shemer
      Pages 123-136
    3. Adam Zaremba, Jacob Shemer
      Pages 137-140
    4. Adam Zaremba, Jacob Shemer
      Pages 141-159
    5. Adam Zaremba, Jacob Shemer
      Pages 161-181
    6. Adam Zaremba, Jacob Shemer
      Pages 183-191
    7. Adam Zaremba, Jacob Shemer
      Pages 193-206
    8. Adam Zaremba, Jacob Shemer
      Pages 207-222
    9. Adam Zaremba, Jacob Shemer
      Pages 223-240
    10. Adam Zaremba, Jacob Shemer
      Pages 241-243
  5. Back Matter
    Pages 245-262

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.


tactical asset allocation value investing low-risk anomaly stock market anomalies size effect small-cap effect asset pricing banking econometrics economics Exchange Traded Funds futures growth Investment Investments liquidity Portfolio pricing securities volatility

Authors and affiliations

  1. 1.Poznan University of Economics and BusinessPoznanPoland
  2. 2.AlphaBetaTel AvivIsrael

About the authors

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.

Bibliographic information

Industry Sectors
Finance, Business & Banking