Integrated Global Asset Management: Quantitative Country ETF Trading Strategy

Abstract

This paper unveils the processes for building a country’s trading strategy that can outperform the MSCI Indexes and on the factor basis. By exploring the belief and experimenting with the structure in place, there seems to be enough room to build a quantitative investment strategy that generates high-quality predictive signals (alphas) considering each countries’ expected equity and currency performances. We created, developed and deployed a set of systematic strategies which produces impressive returns using country Exchange-Traded Funds (ETFs) with the objective to generate returns, risk profiles, automations, modernizations, and optimizations to outperform the iShares MSCI ACWI ETF (ACWI) and the iShares MSCI ACWI ex US ETF (ACWX) and similar benchmarks and evidences within the industry based on extensive data, mathematical, market, and statistical analysis that we used in: 1) risk and scoring metrics such as technical, fundamental, economic, market sentiment and alternative descriptors and 2) factor modeling paradigms and developments could reveal the weighted market exposure for the dynamic multi-step asset allocation by country in a world of multi-period electronic trading and information.