Exploring Developed & Emerging Market Country Allocation for Equities
• Approaches for building country allocation models for equities
– Macro economic signals
– Bottom-up aggregate fundamental and market signals
• Forecasting horizon of the signals
• Compare and contrast developed and emerging markets
• Establishing benchmarks
– Capitalization-weighted indices
– Equal-weighted indices
– Minimum variance indices
• Portfolio construction techniques
– Alpha model of derived signals
– Managed volatility approach