Global Style Portfolios Based on Country Indices

Factor portfolios created by dynamically weighting country indices generated significant global market adjusted returns over the last 30 years. The comparison between stock and country based factor portfolios suggests that country based value, size and momentum factor portfolios implemented through index futures or country ETFs capture a large part of the return of stock based factor strategies. Given the complex issues and costs involved in implementing stock based factor strategies in practice, country based factor strategies offer a viable alternative.