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Country Asset Allocation: Quantitative Country Selection Strategies in Global Factor Investing – Adam Zaremba & Jacob Shemer

22nd October 2019
country asset allocation book cover


Country Asset Allocation is an investment book looking for the best strategy to invest at the country level. I was hoping to glean some insight on how to profit by investing in the global markets through exchange traded funds (ETFs). The authors’ aim is to equip investors with the appropriate tools for investing in ETFs, index funds or futures markets.


Adam Zaremba is an assistant professor at Poznań University of Economics (Poland) and an associate professor at University of Dubai (UAE). His areas of interest include investment management, asset pricing, commodity markets, financialization and alternative investments. He also has experience in the fund management field by working as fund manager, analyst and economist.

I could not find any information about Jacob Shemer other than he is the co-author of another book with Adam Zaremba.


Country Asset Allocation has a total of 15 chapters and 2 appendices. Chapter 1 and Chapter 15 are Introduction and Conclusion respectively. The remaining chapters are separated into 2 parts.

Part I describes the existing quantitative stock market strategies. This part begins with Chapter 2: Value versus Growth: Is Buying Cheap Always a Bargain? Chapter 3 is Trend Is Your Friend: Momentum Investing. Chapter 4 is Is Small Beautiful? Size Effects in Stock Markets. It is followed by Is Risk Always Rewarded? Low-Volatility Anomalies. The last chapter in Part I is Is Good Company a Good Investment? Quality Investing.

Part II shows the implementation of the different strategies in Part I for cross-country asset allocation. Chapter 7 is Testing the Country Allocation Strategies. Chapter 8 is A Short Primer on International Equity Investing. The next chapter is Value-Oriented Country Selection. Chapter 10 is Momentum Effect Across Countries. It is followed by Small-Country Effect. Chapter 12 is Risk-Based Country Asset Allocation. Chapter 13 is Country Selection Based on Quality. The next chapter is What Next? Combining and Improving Country Selection Strategies.

Appendix A is List of Countries Investigated in the Study. Appendix B is Major Cross-Sectional Patterns with Their Explanations.


Country Asset Allocation is written like a research paper. There are notes and references at the end of each chapter and this part may have more words that the content for some chapters.

In this book, the authors discuss 5 grand categories of quantitative investment strategies: value investing, momentum investing, capturing size and liquidity premia, risk-related phenomena and quality investing. The authors present the underlying concept, the theory and also existing empirical evidence on each strategy. The authors then applied these strategies using historical data over the last 20 years to evaluate their performance on international allocation.

So which strategy is the most useful? After finishing this book, I think the gist is in Chapter 14 and 15. Out of the 5 strategies, the results suggest that value investing (specifically EBITDA-to-EV ratio), momentum investing (overperformance was strongest for equal-weighted portfolios, instead of capitalization-weighted) and quality investing (low levels of debt or high profitability) might work. Combining a few strategies in a portfolio can lead to significant risk reduction. The authors did suggest some combinations but they did not endorse them. So, it is up to the reader to choose in the end.

The authors also mention that many strategies in the book could be further improved by additional sortings and concentration of specific market segments. But how to achieve this? I honestly do not know.

Would I recommend you to buy this book? Due to the high price tag and its academic content, I would say no. But if you are interested in the academic research on different investment styles, this book may be the one for you.


  1. A popular stock market adage teaches that “cash is a fact, while profit is an opinion”.


2 out of 3 stars

Interested in Country Asset Allocation?

You may get the book from Kinokuniya Malaysia through the link below*.

Get the book here

*Disclosure: The above link is Involve Asia affiliate link. Thus, I may earn a small commission when you purchase the book through this link.

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