Our Newest Whitepaper: Multi-Style Global Equity Investing

Today we are excited to offer our latest whitepaper, “Multi-Style Global Equity Investing: A Study on Combining Fundamentals, Momentum, Risk and Valuation for Improved Performance“.

PDF imageMulti-Style Global Equity Investing

This is the first paper of its kind to look at the performance of a multi-factor approach to investing in equities across countries, and not just within countries.  Some of the key study highlights include:

  • Factor exposures exhibit alpha across countries, not just within countries
  • Momentum and valuation factors generate the greatest outperformance
  • Factors exhibit low correlations to each other, creating valuable diversification opportunities for portfolio managers
  • Long-only multi-style portfolio, using fundamental, momentum, risk and valuation factors, significantly improves absolute- and risk-adjusted performance
  • Long/short multi-style portfolio substantially outperforms long-only benchmark on a risk-adjusted basis

Our previous whitepaper, “Do Countries Still Matter?” is also available by clicking here. The piece won the Stephen L. Kessler Writing Award, with Honorable Distinction, and was picked up by IMCA in 2012.

We hope that you find our research valuable and informative. We ask that you leave your name and contact information if you would like more information on Accuvest, our portfolios and strategies, or this whitepaper. We will also be hosting a webinar on my Multi-Style Global Equity Investing findings, so please let us know if you would like an invitation to attend.

Trackbacks

  1. […] This is the first commentary in a series about the relative attractiveness of different country stock markets. With everything that has been going on in the Ukraine and Russia over the past several days, much has been written about the opportunity (or lack thereof) that comes as a result of these types of geopolitical events. Most of the commentary surrounds the fact that Russia is now very cheap relative to other regions and countries, and thus represents a good opportunity. In a previous whitepaper, we looked at using Value as a factor when investing across countries, and found it to be effective in generating outperformance vs. the benchmark. The full text can be found here. […]

  2. […] This is the second commentary in a series about the relative attractiveness of different country stock markets. In a previous whitepaper, we looked at using Momentum as a factor when investing across countries, and found it to be effective in generating outperformance vs. the benchmark. The full text can be found here. […]

  3. […] “smart beta” process “exhibits alpha across countries, not just within countries”. (See Multi-Style Global Equity Investing.) As of May 2014, the “smart beta” attractiveness of Brazil is lower than the 4th overall […]

  4. […] approach offers investors the best way to access the EU. Taking the multi factor approach used in David Garff’s whitepaper helps us determine which countries offer the best relative attractiveness. The June rankings of the […]

  5. […] In a previous whitepaper, we looked at using Momentum as a factor when investing across countries, and found it to be effective in generating outperformance vs. the benchmark. The full text can be found here. […]

  6. […] Congratulations to Accuvest President Dave Garff on winning the 2015 Edward D. Baker III Journal Research Award for his recent whitepaper: “Multi-Style Global Equity Investing: A Statistical Study on Combining Fundamentals, Momentum, Risk, …“. […]

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