Ruben Falk will review the effectiveness of macro-economic and fundamental company factors for country selection. He will examine data sources, including:
· Top-down macro measures, and
· Bottom-up aggregations of company and market data -- ratios of valuation, growth, profitability and capital efficiency.
Ruben will also discuss portfolio construction techniques using mean-variance optimization with a time-series risk model and country exposures to standard fundamental factors and factor covariance.
In emerging markets, the research highlights the varied nature of this sub-asset class and that a dynamic allocation strategy would have performed relatively well during recent emerging market turmoil.