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Boston QWAFAFEW Meeting: Tuesday, 18 Nov 2014

November 18, 2014 @ 6:15 am - 9:00 pm

Type: PDF

Uploaded: Wed, November 19, 2014 – 11:49 PM


A Systematic Approach to Country Allocation for Equities



A QWAFAFEW discussion led by:


Ruben Falk





Ruben Falk, Senior Director, Investment Management Segment at S&P Capital IQ, will discuss a review of the efficacy of macro-economic and fundamental company factors for country selection. This session will include an examination of data sources, including top-down macro measures and bottom-up aggregations of company and market data such as ratios of valuation, growth, profitability and capital efficiency. Ruben will also discuss portfolio construction techniques examined, including, mean-variance optimization using a time-series risk model with country exposures to standard fundamental factors and factor covariance. Specifically in emerging markets, the research highlights the heterogeneity of this sub-asset class and that a dynamic allocation strategy would have performed relatively well during recent emerging market turmoil.




Ruben Falk

Senior Director, Global Investment Management Product Segment S&P Capital IQ

Ruben is a Senior Director in the Global Investment Management Product Segment of S&P Capital IQ. In this role, he is responsible for market development for our investment management products including the S&P Capital IQ Platform, Data Feeds and Quantitative Solutions. Ruben has been with S&P Capital IQ and ClariFI in the U.S. and Europe since 2006. Prior to that, he was the Founder and CEO of marketscalpel.com. During 1995-2002, he was a Director with UBS Investment Bank in London after having served 3 years with LEK Consulting. Ruben has an MBA with a concentration in finance from the Walter Haas School of Business at the University of California at Berkeley.r



Please RSVP hugh@QWAFAFEW.org



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November 18, 2014
6:15 am - 9:00 pm