Strategies · Core
Momentum Factor Effect in Country Equity Indexes
Rotate country equity indexes toward those with the strongest trailing returns — momentum at the index, not the stock, layer.
Definition
Rank country futures or ETFs on 6–12 month return, long the top, optionally short the bottom, monthly. Implementation is cleaner than single-name mom (futures, no borrow). You still own a cluster of dollar and growth betas.
Why it matters
Country mom is how a global book expresses relative strength without 2,000 names. Capacity is high; diversification is not automatic.
Case
A 2010s book that was long US and short EM for years — until it wasn’t. The factor was a decade-long dollar/growth tape.
How to read it
Futures vs ETFs, FX-hedged or not, and whether you neutralize regional beta. A long-only top-3 is a concentration.
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