Allocation skew: Managers with conviction

Vikram K. Srimurthy () and Matthew Smalbach
Additional contact information
Vikram K. Srimurthy: Consultant, EPFR global, Postal: Cambridge, MA, USA
Matthew Smalbach: Quantitative Analyst, EPFR global, Postal: Cambridge, MA, USA

Algorithmic Finance, 2018, vol. 7, issue 3-4, 63-69

Abstract: We introduce Allocation Skew, a novel country allocator. This factor favours countries held with conviction by a small minority of managers. We find that strategies which buy and sell, respectively, the Morgan Stanley Capital International (MSCI) country indices with the highest and lowest scores in terms of this factor generate significant positive returns over a forward annual holding period. We also find that the profitability of this strategy is independent of the momentum effect of Muller and Ward. To build the Allocation Skew factor, we use a dataset that captures fund country allocations, compiled by Emerging Portfolio Fund Research (EPFR Global).

Keywords: conviction (search for similar items in EconPapers)
JEL-codes: C00 (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ris:iosalg:0068

Access Statistics for this article

Algorithmic Finance is currently edited by Phil Maymin

More articles in Algorithmic Finance from IOS Press
Bibliographic data for series maintained by Saskia van Wijngaarden ().