Ruben Falk’s pdf overview of:

A Systematic Approach to Country Allocation for Equities

– Review of the efficacy of macro-economic and fundamental company factors for country selection

– Data sources examined include top-down macro measures and bottom-up aggregations of company and market data such as ratios of valuation, growth, profitability and capital efficiency

– Portfolio construction techniques examined include mean-variance optimization using a time-series risk model with country exposures to standard fundamental factors and factor covariance