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Momentum Investing on Country Level

Comparable to stock-based momentum?

Nicolas Rabener
10 min read
9 Feb 2026

SUMMARY

  • Momentum-based country investing outperformed the MSCI ACWI
  • However, the outperformance was highly inconsistent
  • The strategy underperformed since the GFC due to strong U.S performance

INTRODUCTION

BlackRock’s iShares launched the International Country Rotation Active ETF (CORO) in December 2024. The fund dynamically rotates across international equity markets and has outperformed the MSCI ACWI ex USA Index to date.

However, its performance history is very short, making the results not particularly meaningful. More importantly, CORO remains the only U.S.-listed ETF or mutual fund that explicitly implements a country rotation strategy – hardly a strong endorsement of the approach’s robustness.

In prior research (read

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