No. of Recommendations: 3
Yes I misspoke saying the article used Vanguard funds; Blackrock ETFs are now available for all but Portugal (he made a reference to Vanguard and I misread that as use of their funds). But the study
used
data "of the entire MSCI database of developed markets, from each country’s
inception in the database and through the end of 2024. The number of countries varies over time,
with a minimum of 17 and a maximum of 23. The benchmark against which the momentum
strategy considered here is evaluated is the MSCI World index, consisting of all the developed
countries in the sample, weighted by market cap. All returns are monthly, nominal, in dollars, and
include capital gains/losses and dividends. Exhibit A1 in the appendix reports some summary
statistics for all the countries in the sample and the World benchmark.
Of the 23 countries in the sample, 17 have their inception date in Dec/1969. With these
countries, the first portfolio is built at the end of Jun/1970, after observing their return
performance over the first six months of 1970. The eight countries with the highest return are
placed in the ‘Winners’ portfolio, and the remaining nine countries in the ‘Losers’ portfolio, with
equal weights in both cases. At the end of Dec/1970 the same process is repeated, based on the
return performance of each country in the second half of the year. The same process is then
repeated year after year through the end of 2024, with countries being added to the analysis as
they are incorporated into the database."
So he used data not ETFs since the latter did not exist, and he only used developed markets.
