RT Journal Article
SR Electronic
T1 Do “Dogs of the World” Bark or Bite? <em>Evidence from Single-Country ETFs</em>
JF The Journal of Investing
FD Institutional Investor Journals
SP 7
OP 15
DO 10.3905/joi.2015.24.1.007
VO 24
IS 1
A1 David M. Smith
A1 Vladimir S. Pantilei
YR 2015
UL https://pm-research.com/content/24/1/7.abstract
AB Return reversals in financial markets are commonly accepted as a powerful force. This article examines the performance of a simple 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 an application using single-country ETFs since 1997 produce 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. Implementation of this strategy using single-country ETFs offers the advantages of being straightforward and inexpensive.TOPICS: Exchange-traded funds and applications, developed