Abstract

http://ssrn.com/abstract=2279246
 


 



Do 'Dogs of the World' Bark or Bite? Evidence From Single-Country ETFs


David M. Smith


State University of New York at Albany - School of Business

Vladimir S. Pantilei


SUNY at Albany - School of Business

September 9, 2013

Journal of Investing, Forthcoming

Abstract:     
Mean reversion in financial markets is commonly accepted as a powerful force. This paper examines the performance of a simple mean-reversion-based strategy -- Dogs of the World -- designed to take advantage of return reversals in national equity markets. Both a simulated application of the strategy using indexes since 1971 and application using single-country ETFs since 1997 produces higher compounded average returns than those of a comparable market index. Although the Dogs strategy also produces higher volatility than the index, the information ratio for the strategy suggests that the return more than compensates. An advantage of this strategy is that its implementation using single-country ETFs is straightforward and inexpensive.

Number of Pages in PDF File: 20

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Date posted: June 15, 2013 ; Last revised: April 10, 2014

Suggested Citation

Smith, David M. and Pantilei, Vladimir S., Do 'Dogs of the World' Bark or Bite? Evidence From Single-Country ETFs (September 9, 2013). Journal of Investing, Forthcoming. Available at SSRN: http://ssrn.com/abstract=2279246 or http://dx.doi.org/10.2139/ssrn.2279246

Contact Information

David McNeil Smith (Contact Author)
State University of New York at Albany - School of Business ( email )
1400 Washington Ave.
Albany, NY 12222
United States
HOME PAGE: http://www.albany.edu/ciim
Vladimir S. Pantilei
SUNY at Albany - School of Business ( email )
1400 Washington Ave.
Albany, NY 12222
United States
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